1 citations · 4 across the 7 of their papers we have counts for
7 papers
Hybrid quantile estimation for asymmetric power GARCH models
Guochang Wang, Ke Zhu, Guodong Li +1
Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has been rarely investigated. This paper…
Time series models for realized covariance matrices based on the matrix-F distribution
Jiayuan Zhou, Feiyu Jiang, Ke Zhu +1
We propose a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF model is capable of capturing heavy-tailed RCOV, which is…
New HSIC-based tests for independence between two stationary multivariate time series
Guochang Wang, Wai Keung Li, Ke Zhu
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence crit…
On a spiked model for large volatility matrix estimation from noisy high-frequency data
Keren Shen, Jianfeng Yao, Wai Keung Li
Recently, inference about high-dimensional integrated covariance matrices (ICVs) based on noisy high-frequency data has emerged as a challenging problem. In the literature, a pre-a…
On the Surprising Explanatory Power of Higher Realized Moments in Practice
Keren Shen, Jianfeng Yao, Wai Keung Li
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining…
Forecasting High-Dimensional Realized Volatility Matrices Using A Factor Model
Keren Shen, Jianfeng Yao, Wai Keung Li
Modeling and forecasting covariance matrices of asset returns play a crucial role in finance. The availability of high frequency intraday data enables the modeling of the realized…