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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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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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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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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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12/30/2020
SGD Distributional Dynamics of Three Layer Neural Networks
With the rise of big data analytics, multi-layer neural networks have su...
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10/06/2020
Optimal High-order Tensor SVD via Tensor-Train Orthogonal Iteration
This paper studies a general framework for high-order tensor SVD. We pro...
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09/24/2020
How Many Factors Influence Minima in SGD?
Stochastic gradient descent (SGD) is often applied to train Deep Neural ...
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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
Volatility Analysis with Realized GARCH-Ito Models
This paper introduces a unified approach for modeling high-frequency fin...
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11/27/2017