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stat.ME2026
High-Frequency Estimation of the Leverage Effect under Rough Volatility with Microstructure Noise
Zhao Chen, Ming Cheng, Christina Dan Wang +1
This paper develops feasible high-frequency inference for the leverage effect when the spot variance follows rough Volterra dynamics, leverage loadings depend on endogenous rough s…
stat.ME2026
Deformed Q-learning for High-Dimensional Dynamic Treatment Regimes
Ming Cheng, Zhao Chen, Christina Dan Wang
In high-dimensional dynamic treatment regimes, nonlinear terminal outcome models complicate upstream conditional-mean modeling and inference based on recursively estimated continua…