4 papers
Optimal normal approximation for symmetric statistics
Bing-Yi Jing, Yiming Liu, Shaochen Wang +1
Rates of convergence in normal approximation are fundamental to probability and statistics. The theory has evolved from normalized sums to Studentized statistics, smooth functions…
Functional Limit Theorems for Random Least Common Multiples
Shaochen Wang, Guangyu Yang, Wang Zhou
Let be a subset of obtained by retaining each integer independently with fixed probability , and let be the least common multiple of the i…
Spectral analysis of high-dimensional spot volatility matrix with applications
Qiang Liu, Yiming Liu, Zhi Liu +1
In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the samp…
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…