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Correcting spot power variation estimator via Edgeworth expansion Journal article
He, Lidan, Liu, Qiang, Liu, Zhi, Bucci, Andrea. Correcting spot power variation estimator via Edgeworth expansion[J]. Metrika, 2024, 87(8), 921–945.
Authors:  He, Lidan;  Liu, Qiang;  Liu, Zhi;  Bucci, Andrea
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.9/1.0 | Submit date：2024/02/22
Confidence Interval  Edgeworth Expansion  High-frequency Data  Spot Volatility  
A new heteroskedasticity-robust test for explosive bubbles Journal article
Harvey, David I., Leybourne, Stephen J., Taylor, A. M.Robert, Zu, Yang. A new heteroskedasticity-robust test for explosive bubbles[J]. Journal of Time Series Analysis, 2024.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Taylor, A. M.Robert;  Zu, Yang
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/11/05
Rational Bubble  Explosive Autoregression  Time-varying Volatility  Kernel Smoothing  Right-tailed Unit Root Testing  Union Of Rejections  
High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation Journal article
DING YI, ZHENG, Xinghua. High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation[J]. The Annals of Statistics, 2024, 52, 1027–1049.
Authors:  DING YI;  ZHENG, Xinghua
Adobe PDF | Favorite |  | Submit date：2024/08/23
High-dimension  Dynamic Volatility Model  Sample Covariance Matrix  Spectral Distribution  Nonlinear Shrinkage  
HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION Journal article
DING YI, Xinghua Zheng. HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION[J]. Annals of Statistics, 2024, 52(3), 1027-1049.
Authors:  DING YI;  Xinghua Zheng
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:3.2/4.8 | Submit date：2024/06/17
Dynamic Volatility Model  High-dimension  Nonlinear Shrinkage  Sample Covariance Matrix  Spectral Distribution  
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise Journal article
Liu, Qiang, Liu, Zhi. Estimating spot volatility under infinite variation jumps with dependent market microstructure noise[J]. Econometrics Journal, 2024, 27(2), 278-298.
Authors:  Liu, Qiang;  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.9/4.8 | Submit date：2024/07/04
Dependent Market Microstructure Noise  Empirical Characteristic Function  High-frequency Data  Jump Activity  Jumps  Kernel Smoothing  Pre-averaging  Spot Volatility  
Tests for equal forecast accuracy under heteroskedasticity Journal article
Harvey, David I., Leybourne, Stephen J., Zu, Yang. Tests for equal forecast accuracy under heteroskedasticity[J]. Journal of Applied Econometrics, 2024, 1-20.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Zu, Yang
Adobe PDF | Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.3/3.0 | Submit date：2024/05/16
Diebold–mariano Test  Forecast Accuracy  Nonparametric Volatility Estimation  
Market Sentiment Analysis Based on Image Processing With Put-Call Volatility Gap Surface Journal article
Qi, Yuanyuan, Guo, Guoxiang, Wang, Yang, Yen, Jerome. Market Sentiment Analysis Based on Image Processing With Put-Call Volatility Gap Surface[J]. IEEE Transactions on Computational Social Systems, 2024, 11(1), 267-281.
Authors:  Qi, Yuanyuan;  Guo, Guoxiang;  Wang, Yang;  Yen, Jerome
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:4.5/4.6 | Submit date：2023/01/30
Asset Movement Prediction  Deep Learning  Image Processing  Implied Volatility (Iv)  Market Sentiment  
Fractional stochastic volatility model Journal article
Shi, Shuping, Liu, Xiaobin, Yu, Jun. Fractional stochastic volatility model[J]. Journal of Time Series Analysis, 2024.
Authors:  Shi, Shuping;  Liu, Xiaobin;  Yu, Jun
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:1.2/1.4 | Submit date：2024/06/03
Fractional Brownian Motion  Long Memory  Rough Volatility  Spectral Density  Stochastic Volatility  Variance–covariance Matrix  
The Potential of RISC-V Platform in Financial Computing on Option Pricing and Energy Efficiency Conference paper
Guoxiang Guo, Yuanyuan Qi, Minhao Zhu, Yang Wang, Jerome Yen. The Potential of RISC-V Platform in Financial Computing on Option Pricing and Energy Efficiency[C], 2024.
Authors:  Guoxiang Guo;  Yuanyuan Qi;  Minhao Zhu;  Yang Wang;  Jerome Yen
Adobe PDF | Favorite | TC[Scopus]:0 | Submit date：2024/09/12
Risc-v  Implied Volatility  Energy Efficiency  Heterogeneous Computing  
Machine learning-based analysis of volatility quantitative investment strategies for American financial stocks Journal article
Yan, Keyue, Li, Ying. Machine learning-based analysis of volatility quantitative investment strategies for American financial stocks[J]. Quantitative Finance and Economics, 2024, 8(2), 364-386.
Authors:  Yan, Keyue;  Li, Ying
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:3.2/2.2 | Submit date：2024/07/04
Machine Learning  Quantitative Investment  Time Series  Volatility Prediction