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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
Chang, Jinyuan; Hu, Qiao; Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 239 (2024) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10015074488
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An empirical likelihood goodness of fit test for time series
Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2001
Persistent link: https://www.econbiz.de/10001580375
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Nonparametric estimation for a class of Lévy processes
Chen, Song Xi; Delaigle, Aurore; Hall, Peter - In: Journal of econometrics 157 (2010) 2, pp. 257-271
Persistent link: https://www.econbiz.de/10008663024
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Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630
Persistent link: https://www.econbiz.de/10003993190
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Tests for high-dimensional covariance matrices
Chen, Song Xi; Zhang, Li-xin; Zhong, Ping-shou - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 810-819
Persistent link: https://www.econbiz.de/10008736837
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High dimensional generalized empirical likelihood for moment restrictions with dependent data
Chan, Jinyuan; Chen, Song Xi; Chen, Xiaohong - In: Journal of econometrics 185 (2015) 1, pp. 283-304
Persistent link: https://www.econbiz.de/10011339855
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Testing super-diagonal structure in high dimensional covariance matrices
He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297
Persistent link: https://www.econbiz.de/10011705144