This paper introduces a new approach to constructing optimal mean-variance portfolios. The relies on novel unconstrained regression representation of the optimization problem combined with high-dimensional sparse-regression methods. Our estimated portfolio, under mild sparsity assumption, controls for risk and attains maximum expected return as both numbers assets observations grow. superior properties our are demonstrated through comprehensive simulation empirical analysis. Notably, using...

We study the estimation of (joint) moments microstructure noise based on high frequency data. The is conducted under a nonparametric setting, which allows underlying price process to have jumps, observation times be irregularly spaced, and dependent diurnal features. Estimators arbitrary orders are provided, for we establish consistency as well central limit theorems. In particular, provide estimators autocovariances autocorrelations noise. Simulation studies demonstrate excellent...

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed the relationship between observation times and price process. In this paper, we establish a central limit theorem for realized volatility in general endogenous time setting. We also tricity under hypothesis that there is no endogeneity, which propose test document endogeneity present financial data.

The direct conversion of heat and electric energy through thermoelectric effects is one the effective ways to improve efficiency reduce carbon emission. Thermoelectric parameters are basis...

We consider the estimation of integrated covariance (ICV) matrices high dimensional diffusion processes based on frequency observations. start by studying most commonly used estimator, realized (RCV) matrix. show that in case when dimension p and observation n grow same rate, limiting spectral distribution (LSD) RCV depends covolatility process not only through targeting ICV, but also how varies time. establish a Marčenko–Pastur type theorem for weighted sample matrices, which we obtain...

Consider a critical nearest-neighbor branching random walk on the d-dimensional integer lattice initiated by single particle at origin. Let Gn be event that survives to generation n. We obtain following limit theorems, conditional Gn, for variety of occupation statistics: (1) Vn maximal number particles site time If offspring distribution has finite αth moment some α≥2, then, in dimensions 3 and higher, Vn=Op(n1∕α). an exponentially decaying tail, then Vn=Op(log n) higher Vn=Op((log n)2)...

For many multi-factor asset pricing models proposed in the recent literature, their implied tang-ency portfolios have substantially higher sample Sharpe ratios than that of value-weighted market portfolio. In contrast, such high ratio is rarely delivered by professional fund managers. This makes it difficult for us to justify using these performance evaluation. this paper, we explore if estimation risk can explain why are realize reality. particular, provide finite and asymptotic analyses...

Recent theoretical advances have confirmed the status of so-called 'scaling relations' for percolation theory. On this pretext, their implications treatment rock fracture are re-examined. Comparison between predicted and observed b-values suggest that classical may be a less appropriate model than had been anticipated. Directed variants, such as first-passage, oriented invasion percolation, prove more successful, but at present little firm knowledge exists concerning cluster properties. At...

In practice, observations are often contaminated by noise, making the resulting sample covariance matrix a signal-plus-noise matrix. Aiming to make inferences about spectral distribution of population under such situation, we establish an asymptotic relationship that describes how limiting (signal) matrices depends on signal-plus-noise-type matrices. As application, consider integrated covolatility (ICV) high-dimensional diffusion processes based high-frequency data with microstructure...

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed the relationship between observation times and price process. In this paper, we establish a central limit theorem for Realized Volatility in general endogenous time setting. We also tricity under hypothesis that there is no endogeneity, which propose test document endogeneity present financial data.

Facilitated with high-frequency observations, we introduce a remarkably parsimonious one-factor volatility model that offers novel perspective for comprehending and forecasting daily volatilities of large number stocks. Specifically, propose multiplicative factor (MVF) model, where stock variance is represented by common idiosyncratic component. The MVF reflects important properties volatilities, applies to both individual stocks portfolios, can be easily estimated, exhibits exceptional...

Exploring advanced thermoelectric materials, especially flexible fibers, is promising for wearable devices. The properties of these fibers are evaluated using the figure merit ZT value. However, there a lack empirical research on microscale necessitating development precise measurement methods. In addition, since micro- and nanofiber materials can be affected by microstructure, separate measurements electrical conductivity, Seebeck coefficient, thermal conductivity before calculating values...