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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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The leverage effect puzzle under semi-nonparametric stochastic volatility models
Chen, Dachuan; Li, Chenxu; Tang, Cheng Yong; Yan, Jun - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 548-562
Persistent link: https://www.econbiz.de/10015053427
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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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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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Enhancing estimation for interest rate diffusion models with bond prices
Zou, Tao; Chen, Song Xi - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 486-498
Persistent link: https://www.econbiz.de/10011705972