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Modelling multivariate volatilities via conditionally uncorrelated components

Fan, Jianqing (contributor); Wang, Mingjin (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003164853

The Leverage Effect Puzzle : Disentangling Sources of Bias at High Frequency

Aït-Sahalia, Yacine - 2011

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...

Persistent link: https://www.econbiz.de/10013118417

Nonparametric transition-based tests for jump diffusions

Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116

Persistent link: https://www.econbiz.de/10003902802

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249

Persistent link: https://www.econbiz.de/10009765821

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - 2011

"The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle...

Persistent link: https://www.econbiz.de/10009423529

Dynamic integration of time- and state-domain methods for volatility estimation

Fan, Jianqing; Fan, Yingying; Jiang, Jiancheng - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 619-631

Persistent link: https://www.econbiz.de/10003490437

Multi-scale jump and volatility analysis for high-frequency financial data

Fan, Jianqing; Wang, Yazhen - In: Journal of the American Statistical Association : JASA 102 (2007) 480, pp. 1349-1362

Persistent link: https://www.econbiz.de/10003625979

Aggregation of nonparametric estimators for volatility matrix

Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 321-357

Persistent link: https://www.econbiz.de/10003518410

What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?

Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535

Persistent link: https://www.econbiz.de/10011692397

Risks of large portfolios

Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng - In: Journal of econometrics 186 (2015) 2, pp. 367-387

Persistent link: https://www.econbiz.de/10011349458