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Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models 期刊论文
ECONOMETRIC REVIEWS, 2021, 卷号: 40, 期号: 6, 页码: 584-606
作者:  He, Yanan;  Han, Ai;  Hong, Yongmiao;  Sun, Yuying;  Wang, Shouyang
收藏  |  浏览/下载：54/0  |  提交时间：2021/10/26
Uncertainty shocks of Trump election in an interval model of stock market 期刊论文
QUANTITATIVE FINANCE, 2020, 页码: 15
作者:  Sun, Yuying;  Qiao, Kenan;  Wang, Shouyang
收藏  |  浏览/下载：7/0  |  提交时间：2021/01/14
Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models 期刊论文
SCIENCE CHINA-MATHEMATICS, 2019, 卷号: 62, 期号: 12, 页码: 2571-2590
作者:  Liu, Xiaoqian;  Song, Xinyuan;  Zhou, Yong
收藏  |  浏览/下载：64/0  |  提交时间：2020/05/24
A nonparametric specification test for the volatility functions of diffusion processes 期刊论文
ECONOMETRIC REVIEWS, 2019, 卷号: 38, 期号: 5, 页码: 557-576
作者:  Chen, Qiang;  Hu, Meidi;  Song, Xiaojun
收藏  |  浏览/下载：28/0  |  提交时间：2019/08/22
A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 603-623
作者:  Tang, Yinfen;  Zhang, Zhiyuan
收藏  |  浏览/下载：6/0  |  提交时间：2019/08/22
Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling 期刊论文
ENERGY ECONOMICS, 2019, 卷号: 78, 页码: 165-173
作者:  Sun, Yuying;  Zhang, Xun;  Hong, Yongmiao;  Wang, Shouyang
收藏  |  浏览/下载：44/0  |  提交时间：2020/01/10
Hybrid quantile regression estimation for time series models with conditional heteroscedasticity 期刊论文
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2018, 卷号: 80, 期号: 5, 页码: 975-993
作者:  Zheng, Yao;  Zhu, Qianqian;  Li, Guodong;  Xiao, Zhijie
收藏  |  浏览/下载：10/0  |  提交时间：2019/08/22
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data 期刊论文
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 3
作者:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
收藏  |  浏览/下载：8/0  |  提交时间：2019/08/22
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm 期刊论文
SCIENCE CHINA-INFORMATION SCIENCES, 2018, 卷号: 61, 期号: 4, 页码: 17
作者:  Wang, Ximei;  He, Xingkang;  Bao, Ying;  Zhao, Yanlong
收藏  |  浏览/下载：18/0  |  提交时间：2018/07/30
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 203, 期号: 2, 页码: 187-222
作者:  Li, Yingying;  Zhang, Zhiyuan;  Li, Yichu
收藏  |  浏览/下载：6/0  |  提交时间：2019/08/22

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