Yao Zheng

The University of Hong Kong - Department of Statistics & Actuarial Science

Pokfulam Road

Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS

199

SSRN CITATIONS

11

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A Robust Goodness-of-Fit Test for Generalized Autoregressive Conditional Heteroscedastic Models

Number of pages: 39 Posted: 14 Nov 2015 Last Revised: 15 Apr 2016
Yao Zheng, Wai Keung Li and Guodong Li
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 76 (401,231)

Abstract:

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GARCH model, Goodness-of-fit test, Heavy tails, Residual empirical process, Robustness

2.

Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

Number of pages: 53 Posted: 25 Oct 2016 Last Revised: 26 Oct 2016
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong - Department of Statistics and Actuarial Science, The University of Hong Kong - Department of Statistics & Actuarial Science and Boston College - Department of Finance and Department of Economics
Downloads 73 (410,290)
Citation 10

Abstract:

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Bootstrap Method, Conditional Quantile, GARCH, Nonlinear Time Series, Quantile Regression

3.

High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition

Number of pages: 46 Posted: 24 Sep 2019
Di Wang, Heng Lian, Yao Zheng and Guodong Li
affiliation not provided to SSRN, affiliation not provided to SSRN, The University of Hong Kong - Department of Statistics & Actuarial Science and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 50 (493,103)

Abstract:

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High-dimensional time series; Reduced-rank regression; Regularization; Tucker decomposition; Variable selection