3 papers
math.PR2026
Functional Limit Theorems for Random Least Common Multiples
Shaochen Wang, Guangyu Yang, Wang Zhou
Let be a subset of obtained by retaining each integer independently with fixed probability , and let be the least common multiple of the…
stat.ME2026
Empirical Characteristic Function Method for Leverage Effect and Volatility of Volatility: Estimation and Feasible Inference
Qiang Liu, Zhi Liu, Guangren Yang +1
We develop jump-robust estimators of the leverage effect and volatility of volatility using high-frequency data. Our construction begins with a spot volatility estimator based on t…
math.ST2026
Spectral analysis of high-dimensional spot volatility matrix with applications
Qiang Liu, Yiming Liu, Zhi Liu +1
In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the samp…