Author

Run-Ze Li

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Preprint Aug 2026

(Mis)Understanding Benign Overfitting in Equity Return Prediction

Highly overparameterized models often predict well despite interpolating training data in complex domains, challenging the classical bias--variance tradeoff. We investigate whether this ``benign overfitting''phenomenon extends to equity return prediction. Consistent with recent statistical theory, we document two key p...

Hui Guo, Jiawei Huang, Run-Ze Li et al. · 0 citations

Preprint Sep 2026

On tail-robust autocovariance matrix estimation for high-dimensional and potentially nonstationary time series

In this paper, we study the autocovariance matrix estimation and inference problems under heavy-tailedness, high-dimensionality, general nonlinear temporal dependence, and potentially nonstationarity of time series. We consider two types of tail-robust autocovariance matrix estimation methods: the element-wise Huber's...

Hao-Tian Xu, S. Guerrier, Run-Ze Li et al. · 0 citations