1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.ST2021
Statistical Arbitrage Risk Premium by Machine Learning
Raymond C. W. Leung, Yu-Man Tam
How to hedge factor risks without knowing the identities of the factors? We first prove a general theoretical result: even if the exact set of factors cannot be identified, any ris…
math.ST2021★ 1 cited
A Small-Uniform Statistic for the Inference of Functional Linear Regressions
Raymond C. W. Leung, Yu-Man Tam
We propose a "small-uniform" statistic for the inference of the functional PCA estimator in a functional linear regression model. The literature has shown two extreme behaviors: on…