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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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01/17/2023
Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta
In this paper, we develop a robust non-parametric realized integrated be...
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12/15/2022
Twin-width of random graphs
We investigate the twin-width of the Erdős-Rényi random graph G(n,p). We...
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06/30/2022
Benchmark Dataset for Precipitation Forecasting by Post-Processing the Numerical Weather Prediction
Precipitation forecasting is an important scientific challenge that has ...
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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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04/14/2022
Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator
This paper introduces a unified parametric modeling approach for time-va...
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04/14/2022
Multivariate Overnight GARCH-Itô Model with Applications in Large Volatility Matrix Estimation and Prediction
This paper introduces a unified multivariate overnight GARCH-Itô model f...
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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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11/18/2021
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
In this paper, we investigate the effect of the U.S.–China trade war on ...
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11/08/2021
Exponential GARCH-Ito Volatility Models
This paper introduces a novel Ito diffusion process to model high-freque...
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10/08/2021
Bounds for the Twin-width of Graphs
Bonnet, Kim, Thomassé, and Watrigant (2020) introduced the twin-width of...
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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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08/04/2021
Conditional Quantile Analysis for Realized GARCH Models
This paper introduces a novel quantile approach to harness the high-freq...
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03/11/2021
Self-supervised Text-to-SQL Learning with Header Alignment Training
Since we can leverage a large amount of unlabeled data without any human...
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02/26/2021
State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
Recently, to account for low-frequency market dynamics, several volatili...
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02/25/2021
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
Several novel statistical methods have been developed to estimate large ...
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02/24/2021
Overnight GARCH-Itô Volatility Models
Various parametric volatility models for financial data have been develo...
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01/18/2021
Statistical Analysis of Quantum Annealing
Quantum computers use quantum resources to carry out computational tasks...
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06/22/2020
Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency
This paper introduces unified models for high-dimensional factor-based I...
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10/21/2019
Domain-agnostic Question-Answering with Adversarial Training
Adapting models to new domain without finetuning is a challenging proble...
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07/02/2019