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stat.ME2019
An interval-valued GARCH model for range-measured return processes
Yan Sun, Guanghua Lian, Zudi Lu +2
Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and s…
stat.ME2014★ 1 cited
Local Adaptive Grouped Regularization and its Oracle Properties for Varying Coefficient Regression
Wesley Brooks, Jun Zhu, Zudi Lu
Varying coefficient regression is a flexible technique for modeling data where the coefficients are functions of some effect-modifying parameter, often time or location in a certai…