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07/03/2023
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
In this paper, we consider estimating spot/instantaneous volatility matr...
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04/14/2023
Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
In this paper, we consider detecting and estimating breaks in heterogene...
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03/23/2023
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
This paper considers estimating functional-coefficient models in panel q...
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03/17/2023
Inference of Grouped Time-Varying Network Vector Autoregression Models
This paper considers statistical inference of time-varying network vecto...
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02/11/2023
Dimension Reduction and MARS
The multivariate adaptive regression spline (MARS) is one of the popular...
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02/05/2023
