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stat.ME2023
Matrix GARCH Model: Inference and Application
Cheng Yu, Dong Li, Feiyu Jiang +1
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in eco…
stat.ME2019★ 3 cited
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run compone…