3 papers
stat.ME2025
Empirical Characteristic Function Method for Leverage Effect and Volatility of Volatility: Estimation and Feasible Inference
Qiang Liu, Zhi Liu, Guangren Yang +1
We develop jump-robust estimators of the leverage effect and volatility of volatility using high-frequency data. Our construction begins with a spot volatility estimator based on t…
stat.ME2025
Fair Conformal Prediction for Incomplete Covariate Data
Jingsen Kong, YIming Liu, Guangren Yang
Conformal prediction provides a distribution-free framework for uncertainty quantification. This study explores the application of conformal prediction in scenarios where covariate…
stat.ME2024
A unified framework for bounding causal effects on the always-survivor and other populations
Aixian Chen, Xia Cui, Guangren Yang
We investigate the bounding problem of causal effects in experimental studies in which the outcome is truncated by death, meaning that the subject dies before the outcome can be me…