4 papers · 1 filter
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…
A new non-parametric Kendall's tau for matrix-valued elliptical observations
Yong He, Yalin Wang, Long Yu +2
In this article, we first propose generalized row/column matrix Kendall's tau for matrix-variate observations that are ubiquitous in areas such as finance and medical imaging. For…
Factor Modelling for Biclustering Large-dimensional Matrix-valued Time Series
Yong He, Xiaoyang Ma, Xingheng Wang +1
A novel unsupervised learning method is proposed in this paper for biclustering large-dimensional matrix-valued time series based on an entirely new latent two-way factor structure…
Large-dimensional Robust Factor Analysis with Group Structure
Yong He, Xiaoyang Ma, Xingheng Wang +1
In this paper, we focus on exploiting the group structure for large-dimensional factor models, which captures the homogeneous effects of common factors on individuals within the sa…