42 citations · 71 across the 7 of their papers we have counts for
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econ.EM2024
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Degui Li, Oliver Linton, Haoxuan Zhang
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an…
econ.EM2024
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
Chenlei Leng, Degui Li, Hanlin Shang +1
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation…
econ.EM2023★ 1 cited
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
Xiaorong Yang, Jia Chen, Degui Li +1
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large p…