Wenyang Zhang

Biographic Data

ID8920533
NAMEWenyang Zhang
GIVEN NAMESWenyang
FAMILY NAMEZhang
SIGNATUREZHANG W
AFFILIATIONSUniversity of Macau
ORCID0000-0003-4007-1949
VERIFIEDYes
TOTAL WORKS6
TOTAL CITATIONS0
WORKS AS AUTHOR6
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2021
LATEST PUBLICATION YEAR2026
H-INDEX0

  • Factor Model Based Estimation for High Dimensional Reduced-Rank Time Series

    Rongmao Zhang, Zhenjie Qin et al.ARTICLEJournal of Business and Economic…2026

    High-dimensional time series are very common in reality. Analyzing each series separately may not be a good strategy, as it may miss some important information and result in a less optimal outcome. Even worse, in some cases, it may not even provide an answer to the question of interest. Reduced-rank model is an important tool for joint analysis of high-dimensional multiple-response time series. In this paper, we develop a new and powerful method …

  • Panel Quantile GARCH Models under Homogeneity

    Qianqian Zhu, Wenyu Li et al.ARTICLEJournal of Business and Economic…2026

    Empirical evidence indicates that the estimates of GARCH parameters cluster in a panel of financial assets, potentially due to assets with similar exposure to common market risks. To capture the subgroup effect on conditional quantiles of financial asset returns and improve estimation efficiency by pooling information across individuals within the same group, this paper introduces the panel quantile GARCH model with homogeneous structures in the …

  • Homogeneity Pursuit in Clustered Data Analysis When Cluster Sizes Are Small

    Yan Sun, Liming Tan et al.ARTICLEJournal of Business and Economic…2026

    Clustered data analysis is an important topic in data science. A well established approach is to assume all clusters share the same unknown parameters of interest, and the difference between different clusters is formulated and accounted for by cluster effects. Whilst this approach works very well in many issues, such as exploring the global impact of an explanatory variable on the response variable, it does not provide much insight about individ…

  • High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure

    Yuan Ke, Heng Lian et al.ARTICLEJournal of Business and Economic…2022

    High-dimensional covariance matrices appear in many disciplines. Much literature has devoted to the research in high-dimensional constant covariance matrices. However, constant covariance matrices are not sufficient in applications, for example, in portfolio allocation, dynamic covariance matrices would be more appropriate. As argued in this article, there are two difficulties in the introduction of dynamic structures into covariance matrices: (1…

  • Estimation and Inference for Multi-Kink Quantile Regression

    Wei Zhong, Chuang Wan et al.ARTICLEJournal of Business and Economic…2022

    This article proposes a new Multi-Kink Quantile Regression (MKQR) model which assumes different linear quantile regression forms in different regions of the domain of the threshold covariate but are still continuous at kink points. First, we investigate parameter estimation, kink points detection and statistical inference in MKQR models. We propose an iterative segmented quantile regression algorithm for estimating both the regression coefficient…

  • Homogeneity Pursuit in Single Index Models based Panel Data Analysis

    Heng Lian, Xinghao Qiao et al.ARTICLEJournal of Business and Economic…2021

    Panel data analysis is an important topic in statistics and econometrics. Traditionally, in panel data analysis, all individuals are assumed to share the same unknown parameters, e.g. the same coefficients of covariates when the linear models are used, and the differences between the individuals are accounted for by cluster effects. This kind of modelling only makes sense if our main interest is on the global trend, this is because it would not b…