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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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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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07/02/2019
Large Volatility Matrix Prediction with High-Frequency Data
We provide a novel method for large volatility matrix prediction with hi...
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07/02/2019