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06/03/2023
Online Bootstrap Inference with Nonconvex Stochastic Gradient Descent Estimator
In this paper, we investigate the theoretical properties of stochastic g...
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12/01/2021
Conditional Randomization Rank Test
We propose a new method named the Conditional Randomization Rank Test (C...
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09/11/2019
Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise
Volatility estimation based on high-frequency data is key to accurately ...
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08/23/2018