2 papers
math.ST2026
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…
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…