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math.ST2022
A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones
Oliver B. Linton, Haihan Tang, Jianbin Wu
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a contine…
econ.EM2022
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance
Liang Jiang, Oliver B. Linton, Haihan Tang +1
We investigate how to improve efficiency using regression adjustments with covariates in covariate-adaptive randomizations (CARs) with imperfect subject compliance. Our regression-…