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stat.ME2023
HAR-Ito models and high-dimensional HAR modeling for high-frequency data
Huiling Yuan, Kexin Lu, Yifeng Guo +1
It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (H…
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,…