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When Econometrics Met Information Theory: A Real-Time Approach to Track Yen Exchange Rate
Fluctuations in currency exchange rates have enormous economic impact, affecting a wide range of market participants including governments, banks,...
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First Passage Density of Brownian Motion with Two-sided Piecewise Linear Boundaries
The first passage time has many applications in fields like finance, econometrics, statistics, and biology. However, explicit formulas for the first...
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Wide-sense Stationary Processes
This chapter concerns a topic of interest in many fields of application, most notably signal processing and communications theory, as well as...
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Automatic Structure Identification of Semiparametric Spatial Autoregressive Model Based on Smooth-Threshold Estimating Equation
Issues concerning spatial dependence among cross-sectional units in econometrics have received more and more attention, while in statistical...
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Entropical Optimal Transport, Schrödinger’s System and Algorithms
In this exposition paper we present the optimal transport problem of Monge-Ampère-Kantorovitch (MAK in short) and its approximative entropical...
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Convergence of Self-Tuning Regulators under Conditional Heteroscedastic Noises with Unknown High-Frequency Gain
In the classical theory of self-tuning regulators, it always requires that the conditional variances of the systems noises are bounded. However, such...
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Probability
The study of probability arose out of the desire to understand (and perhaps gain an upper hand in) games of chance and gambling. Today, probability...
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High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise
The estimates of the high-dimensional volatility matrix based on high-frequency data play a pivotal role in many financial applications. However,...
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The Linear Quadratic Regulator
In order to illustrate the use of dynamic programming and the Bellman equation we now consider a classical engineering problem: The linear quadratic...
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Empirical likelihood for spatial cross-sectional data models with matrix exponential spatial specification
In this paper, we study spatial cross-sectional data models in the form of matrix exponential spatial specification (MESS), where MESS appears in...
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A Unit Root Test for an AR(1) Process with AR Errors by Using Random Weighted Bootstrap
A great deal of economic problems are related to detecting the stability of time series data, where the main interest is in the unit root test. In...
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Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review
In this paper, we highlight some recent developments of a new route to evaluate macroeconomic policy effects, which are investigated under the...
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Jackknife Model Averaging for Composite Quantile Regression
In this paper, the authors propose a frequentist model averaging method for composite quantile regression with diverging number of parameters....
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Semi-Varying Coefficient Panel Data Model with Technical Indicators Predicts Stock Returns in Financial Market
Accurately predicting stock returns is a conundrum in financial market. Solving this conundrum can bring huge economic benefits for investors and...
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Least Squares Model Averaging for Two Non-Nested Linear Models
This paper studies the least squares model averaging methods for two non-nested linear models. It is proved that the Mallows model averaging weight...
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Group LASSO for Change-points in Functional Time Series
Multiple change-points estimation for functional time series is studied in this paper. The change-point problem is first transformed into a...
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A Fluctuation Test for Structural Change Detection in Heterogeneous Panel Data Models
Structural change in panel data is a widespread phenomena. This paper proposes a fluctuation test to detect a structural change at an unknown date in...
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Extracting a low-dimensional predictable time series
Large scale multi-dimensional time series can be found in many disciplines, including finance, econometrics, biomedical engineering, and industrial...
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Itô-Taylor Expansion Method of European Spread Option Pricing for Multivariate Diffusions with Jumps
In this paper, we propose a new method for spread option pricing under the multivariate irreducible diffusions without jumps and with different types...