2 papers
stat.ME2024
Quasi-maximum likelihood estimation for scalable ARMA models
Yuchang Lin, Wenyu Li, Qianqian Zhu
The recently proposed scalable ARMA model preserves the parsimony of traditional VARMA models while achieving greater computational tractability. However, existing studies are limi…
stat.ME2024
A computationally efficient multivariate volatility model for many assets
Wenyu Li, Yuchang Lin, Qianqian Zhu +1
This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among…