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Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
Favorite  |  View/Download：86/0  |  Submit date：2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Nonlinear Least Squares Estimation of Log-ACD Models 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 卷号: 34, 期号: 3, 页码: 516-533
Authors:  Chen, Zhao;  Liu, Wei;  Wang, Christina Dan;  Wu, Wu-qing;  Wu, Yao-hua
Favorite  |  View/Download：105/0  |  Submit date：2018/09/08
Log-ACD model  nonlinear least squares estimation  Log-GARCH model  heavy-tail  
nonlinearleastsquaresestimationoflogacdmodels 期刊论文
actamathematicaeapplicataesinica, 2018, 卷号: 034, 期号: 003, 页码: 516
Authors:  Chen Zhao;  Liu Wei;  Wang Christina Dan;  Wu Wuqing;  Wu Yaohua
Favorite  |  View/Download：100/0  |  Submit date：2020/01/10