This article proposes a general class of tests to examine whether the error term is a martingale difference sequence in a multivariate time series model with parametric conditional mean. These new …
This article proposes a novel multivariate time series model named copula-linked univariate D-vines (CuDvine), which enables the simultaneous copula-based modeling of both temporal and cross-sectio…
This article considers the problem of model averaging for regression models that can be nonlinear in their parameters and variables. We consider a nonlinear model averaging (NMA) framework and prop…
We compute the value-at-risk of financial losses by fitting a generalized Pareto distribution to exceedances over a threshold. Following the common practice of setting the threshold as high sample …
We propose a novel dynamic bivariate peak over threshold (PoT) model to study the time-varying behavior of joint tail risk in financial markets. The proposed framework provides simultaneous modelin…
This paper is devoted to the study of basic reproduction ratios R0 for time-periodic homogeneous evolution systems. We introduce the definition of R0 and show that the sign of R0-1 determines the s…
Nonlinear polarization evolution (NPE) is among the most advanced techniques for obtaining ultrashort pulses with excellent optical performance. However, it is challenging to design environmentally…
Terahertz (THz) photonics technique can break through the bandwidth limitation of electronic mixing method and be seamless integrated with optical access networks, which has bright prospects in fut…
Terahertz band (0.1 to 10 THz) with high carrier frequency and large available bandwidth has become a promising candidate to meet the 100 Gbit/s or even 1 Tbit/s data rate required by the future si…
We have implemented a large-capacity, long-haul, and high spectral efficiency photonics-based polarization multiplexing communication system at W-band. The signal delivery up to 119.1 Gb/s with spe…