2 papers
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…
stat.ME2025
Fair Conformal Prediction for Incomplete Covariate Data
Jingsen Kong, YIming Liu, Guangren Yang
Conformal prediction provides a distribution-free framework for uncertainty quantification. This study explores the application of conformal prediction in scenarios where covariate…