57 citations · 70 across the 31 of their papers we have counts for
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q-fin.MF2021
A compensatory model for quantile estimation and application to VaR
Xiaoyuan Tian, Shuzhen Yang
Unlike the standard two-step workflow of estimating a time series distribution and extracting quantiles from it, this paper proposes a compensatory model to refine quantile estimat…
math.ST2021
Linear regression under model uncertainty
Shuzhen Yang, Jianfeng Yao
We reexamine the classical linear regression model when the model is subject to two types of uncertainty: (i) some of covariates are either missing or completely inaccessible, and…