24 citations · 29 across the 9 of their papers we have counts for
9 papers
Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM
Jiaqi Li, Likai Chen, Weining Wang +1
We propose an inference method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. Our method aggregates moving su…
Policy Choice in Time Series by Empirical Welfare Maximization
Toru Kitagawa, Weining Wang, Mengshan Xu
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series settin…
Dynamic Network Quantile Regression Model
Xiu Xu, Weining Wang, Yongcheol Shin +1
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile…
Pricing Cryptocurrency Options
Ai Jun Hou, Weining Wang, Cathy Y. H. Chen +1
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC in…
Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
Konul Mustafayeva, Weining Wang
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance…
A supreme test for periodic explosive GARCH
Stefan Richter, Weining Wang, Wei Biao Wu
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH (generalized autoregressive conditional heteroskedasticity) process. Nam…