no code implementations • 10 Mar 2024 • Degui Li, Oliver Linton, Haoxuan Zhang
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.
no code implementations • 3 Jul 2023 • Ruijun Bu, Degui Li, Oliver Linton, Hanchao Wang
In addition, we consider large spot volatility matrix estimation in time-varying factor models with observable risk factors and derive the uniform convergence property.
no code implementations • 24 Jun 2022 • Michael Vogt, Christopher Walsh, Oliver Linton
Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small.
no code implementations • 16 Feb 2021 • Wei Huang, Oliver Linton, Zheng Zhang
We propose a general framework for the specification testing of continuous treatment effect models.