activity
20152019
most citedForecasting High-Dimensional Realized Volatility Matrices Using A Factor Model

1 citations · 2 across the 3 of their papers we have counts for

collaborators
Showing 2019Show all

2 papers · 1 filter

econ.EM2019★ 1 cited

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…

math.ST2019

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…