2 papers
stat.ME2026
Expected Shortfall Panel Regression
Yujie Hou, Xinbing Kong, Yalin Wang +1
Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional o…
math.ST2024
Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model
Yong He, Yujie Hou, Haixia Liu +1
Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components h…