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01/17/2023
Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta
In this paper, we develop a robust non-parametric realized integrated be...
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04/14/2022
Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator
This paper introduces a unified parametric modeling approach for time-va...
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04/14/2022
Multivariate Overnight GARCH-Itô Model with Applications in Large Volatility Matrix Estimation and Prediction
This paper introduces a unified multivariate overnight GARCH-Itô model f...
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11/18/2021
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
In this paper, we investigate the effect of the U.S.–China trade war on ...
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08/04/2021