4 papers
Scaling limit of heavy tailed nearly unstable cumulative INAR() processes and rough fractional diffusions
Yingli Wang, Chunhao Cai, Ping He +1
In this paper, we investigate the scaling limit of heavy-tailed nearly unstable cumulative INAR() processes. These processes exhibit a power-law tail of the form $n^{-(1+α…
Precise Deviations for discrete marked Hawkes processes
Yingli Wang, Ping He
In this paper, we study precise deviations including precise large deviations and moderate deviations for discrete marked Hawkes processes for large time asymptotics by using mod-$…
Statistical Inference for Cumulative INAR() Processes via Least-Squares
Yingli Wang, Xiaohong Duan, Ping He
This paper investigates the cumulative Integer-Valued Autoregressive model of infinite order, denoted as INAR(), a class of processes crucial for modeling count time series…
Closed-form solutions for VIX derivatives in a Legendre empirical model
Ying-Li Wang, Cheng-Long Xu, Ping He
In this paper, we introduce a data-driven, single-parameter Markov diffusion model for the VIX. The volatility factor evolves in with a uniform invariant distribution ensu…