3 papers
econ.EM2026
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…
math.ST2025
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…
math.ST2024
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…