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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…