Related papers: Asymptotic theory of range-based multipower variat…
In this paper, we first investigate the estimation of the empirical joint Laplace transform of volatilities of two semi-martingales within a fixed time interval [0, T] by using overlapped increments of high-frequency data. The proposed…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters…
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers the case when the dimension $p$ and the sample size $n$…
A distributed average consensus algorithm in which every sensor transmits with bounded peak power is proposed. In the presence of communication noise, it is shown that the nodes reach consensus asymptotically to a finite random variable…
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor's utility during the averaging time interval.…
Long-baseline optical interferometry uses the power spectrum and bispectrum constructs as fundamental observables. Noise arising in the detection of the fringe pattern gives rise to both variance and biases in the power spectrum and…
In particle physics, as in many areas of science, parameter inference relies on simulations to bridge the gap between theory and experiment. Recent developments in simulation-based inference have boosted the sensitivity of analyses;…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…
Probabilistic regression models the entire predictive distribution of a response variable, offering richer insights than classical point estimates and directly allowing for uncertainty quantification. While diffusion-based generative models…
We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…
In this paper we estimate the mean-variance portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is distribution-free and is optimal in the sense…
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dynamic structure on MVP processes, which…
This article considers a linear model in a high dimensional data scenario. We propose a process which uses multiple loss functions both to select relevant predictors and to estimate parameters, and study its asymptotic properties. Variable…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…