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Pricing high-dimensional American options by kernel ridge regression

Hu, Wenbin; Zastawniak, Tomasz - In: Quantitative finance 20 (2020) 5, pp. 851-865

Persistent link: https://www.econbiz.de/10012262630

Incorporating graphical structure of predictors in sparse quantile regression

Wang, Zhanfeng; Liu, Xianhui; Tang, Wenlu; Lin, Yuanyuan - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 783-792

Persistent link: https://www.econbiz.de/10012587982

Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root

Lin, Yingqian; Tu, Yundong - In: Journal of econometrics 219 (2020) 1, pp. 52-65

Persistent link: https://www.econbiz.de/10012483188

Post-selection inference of high-dimensional logistic regression under case-control design

Lin, Yuanyuan; Xie, Jinhan; Han, Ruijian; Tang, Niansheng - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 624-635

Persistent link: https://www.econbiz.de/10014448384

Quantile correlation-based variable selection

Tang, Wenlu; Xie, Jinhan; Lin, Yuanyuan; Tang, Niansheng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1081-1093

Persistent link: https://www.econbiz.de/10013539454

Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors

Han, Dongxiao; Huang, Jian; Lin, Yuanyuan; Shen, Guohao - In: Journal of econometrics 230 (2022) 2, pp. 416-431

Persistent link: https://www.econbiz.de/10013464038

Transformation models with cointegrated and deterministically trending regressors

Lin, Yingqian; Tu, Yundong - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 207-232). 2023

This chapter develops an asymptotic theory for a general transformation model with a time trend, stationary regressors, and unit root nonstationary regressors. This model extends that of Han (1987) to incorporate time trend and nonstationary regressors. When the transformation is specified as an...

Persistent link: https://www.econbiz.de/10014313678