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Found 6 papers, 1 papers with code
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets.
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
We propose a flexible dual functional factor model for modelling high-dimensional functional time series.
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
In addition, we consider large spot volatility matrix estimation in time-varying factor models with observable risk factors and derive the uniform convergence property.
Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally correlated and temporally dependent.
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
A latent group structure is imposed on the heterogenous quantile regression models so that the number of nonparametric functional coefficients to be estimated can be reduced considerably.
Dimension Reduction and MARS
The multivariate adaptive regression spline (MARS) is one of the popular estimation methods for nonparametric multivariate regressions.
