The University of Hong Kong - University of Hong Kong
ARMA model, Change point, Heavy-tailed G-GARCH noises, Self-weighted LADE
big data, Big portfolio selection, High-dimensional time series, machine learning
Heavy-tailedness, Quasi-maximum likelihood estimation, Statistical inference, Tensor double autoregression, Tensor time series
ARMA-GARCH specification, Asymptotic bias, Central limit theorem, Large dynamic panel, Linear-quadratic form
Characteristic measure of symmetry, Consistent test, MultivariateGARCH model, Multivariate time series model, Testing for the symmetry of innovation
Automatic portmanteau test, Large dynamic panel, Portmanteau test, Testing for cross-sectional dependence, Testing for serial dependence
