4 papers
Conditional Tensor Diffusion: Distributional Counterfactual Learning and Inference
Xinbing Kong, Zeyu Li, Junfan Mao +1
Causal inference guides operational and managerial decisions but remains challenging in high-dimensional panel or tensor settings, where decisions may depend on the joint condition…
Expected Shortfall Factor Models: Common Tail Losses and Expected Returns
Yujie Hou, Xinbing Kong, Yalin Wang +1
We develop an expected shortfall factor model (ESFM) to estimate and price common variation in the severity of lower-tail losses in large panels of asset returns. Mean factor model…
High-Dimensional Binary Variates: Maximum Likelihood Estimation with Nonstationary Covariates and Factors
Xinbing Kong, Bin Wu, Wuyi Ye
This paper introduces a high-dimensional binary variate model that accommodates nonstationary covariates and factors, and studies their asymptotic theory. This framework encompasse…
Staleness Factors and Volatility Estimation at High Frequencies
Xinbing Kong, Bin Wu, Wuyi Ye
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-freq…