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Found 4 papers, 0 papers with code
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets.
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
In addition, we consider large spot volatility matrix estimation in time-varying factor models with observable risk factors and derive the uniform convergence property.
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects
Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small.
A Unified Framework for Specification Tests of Continuous Treatment Effect Models
We propose a general framework for the specification testing of continuous treatment effect models.
