1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2022
High-Frequency-Based Volatility Model with Network Structure
Huiling Yuan, Guodong Li, Junhui Wang
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The mode…
stat.ME2016
Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
Yao Zheng, Qianqian Zhu, Guodong Li +1
Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series displ…
stat.ME2012★ 1 cited
Quantile correlations and quantile autoregressive modeling
Guodong Li, Yang Li, Chih-Ling Tsai
In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models,…