18 citations · 23 across the 4 of their papers we have counts for
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math.ST2017★ 5 cited
Model Selection for Explosive Models
Yubo Tao, Jun Yu
This paper examines the limit properties of information criteria (such as AIC, BIC, HQIC) for distinguishing between the unit root model and the various kinds of explosive models.…
math.ST2016
Shrinkage estimation of covariance matrix for portfolio choice with high frequency data
Cheng Liu, Ningning Xia, Jun Yu
This paper examines the usefulness of high frequency data in estimating the covariance matrix for portfolio choice when the portfolio size is large. A computationally convenient no…