52 citations · 52 across the 1 of their papers we have counts for
3 papers
stat.ME2020
Projected Estimation for Large-dimensional Matrix Factor Models
Long Yu, Yong He, Xin-bing Kong +1
In this study, we propose a projection estimation method for large-dimensional matrix factor models with cross-sectionally spiked eigenvalues. By projecting the observation matrix…
stat.ME2019
Large-dimensional Factor Analysis without Moment Constraints
Yong He, Xinbing Kong, Long Yu +1
Large-dimensional factor model has drawn much attention in the big-data era, in order to reduce the dimensionality and extract underlying features using a few latent common factors…
math.ST2015★ 52 cited
Testing for pure-jump processes for high-frequency data
Xin-Bing Kong, Zhi Liu, Bing-Yi Jing
Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistic…