90 citations · 100 across the 17 of their papers we have counts for
4 papers · 1 filter
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…
Quantiled conditional variance, skewness, and kurtosis by Cornish-Fisher expansion
Ningning Zhang, Ke Zhu
The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs) are often studied by some parametric models but…
Big portfolio selection by graph-based conditional moments method
Zhoufan Zhu, Ningning Zhang, Ke Zhu
How to do big portfolio selection is very important but challenging for both researchers and practitioners. In this paper, we propose a new graph-based conditional moments (GRACE)…
Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables
Bing Su, Fukang Zhu, Ke Zhu
The spatial dependence in mean has been well studied by plenty of models in a large strand of literature, however, the investigation of spatial dependence in variance is lagging si…