The measurement of treatment (intervention) effects on a single (or just a few) treated unit(s) based on counterfactuals constructed from artificial controls has become a popular practice in applied statistics and economics since the proposal of the synthetic control method. In high-dimensional...

The constant elasticity of substitution (CES) function is an important function that is widely used in both theoretical analysis and applied economics. We propose a systematic framework to estimate the deep nested CES function using the nonlinear least squares (NLS) method. This method fills the...

Recently several large volatility matrix estimation procedures have been developed for factor-based Ito processes whose integrated volatility matrix consists of low-rank and sparse matrices. Their performance depends on the accuracy of input volatility matrix estimators. When estimating...

Several novel large volatility matrix estimation methods have been developed based on the high-frequency financial data. They often employ the approximate factor model that leads to a low-rank plus sparse structure for the integrated volatility matrix and facilitates estimation of large...