Focal Interest
Focal Interest

Statistics

  1. Dynamic likelihood estimation can improve hazard rate fitting
    Semiparametric method for hazard rate estimation combining parametric efficiency with nonparametric flexibility through dynamic local likelihood smoothing
  2. Asymptotic theory of range-based multipower variation
    Realized range-based multipower variation theory for jump-robust volatility estimation in sparse high-frequency asset price data with microstructure noise considerations.
  3. The Dynamics Of Private Equity Funds When Drawdowns, Performances and Distributions are Correlated
    A stochastic modeling framework for private equity fund dynamics using correlated diffusion processes for drawdowns, performance, and distributions, with adjustment for reporting biases.