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02/27/2023
Robust High-Dimensional Time-Varying Coefficient Estimation
In this paper, we develop a novel high-dimensional coefficient estimatio...
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05/31/2022
Volatility Models for Stylized Facts of High-Frequency Financial Data
This paper introduces novel volatility diffusion models to account for t...
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02/17/2022
High-Dimensional High-Frequency Regression
In this paper, we develop a novel high-dimensional regression inference ...
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09/11/2021
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data
Various parametric models have been developed to predict large volatilit...
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02/25/2021