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math.ST2025
Robustified Gaussian quasi-likelihood inference for volatility
Shoichi Eguchi, Hiroki Masuda
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps…
stat.ME2025
Clustering-based aggregate value regression
Kei Hirose, Hidetoshi Matsui, Hiroki Masuda
In various practical situations, forecasting of aggregate values rather than individual ones is often our main focus. For instance, electricity companies are interested in forecast…