Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Christina Dan Wang"'
Publikováno v:
Journal of Econometrics. 227:168-188
In portfolio choice problems, the classical Mean–Variance model in Markowitz (1952) relies heavily on the covariance structure among assets. As the number and types of assets increase rapidly, traditional methods to estimate the covariance matrix a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb7ebc72c4517b4b8ab17df91e71518b
https://doi.org/10.1016/j.jeconom.2020.05.007
https://doi.org/10.1016/j.jeconom.2020.05.007
Publikováno v:
Journal of Econometrics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::15739b3d23c637ab241effab660875a4
https://doi.org/10.1016/j.jeconom.2023.01.028
https://doi.org/10.1016/j.jeconom.2023.01.028
Autor:
Ayaz Hyder, Ava Hamilton, Navdep Kaur, Julian Santaella-Tenorio, Mohammad S. Jalali, Christina Dan Wang, Catherine DiGennaro, Katherine M. Keyes, Magdalena Cerdá
Publikováno v:
Epidemiol Rev
The opioid overdose crisis is driven by an intersecting set of social, structural, and economic forces. Simulation models offer a tool to help us understand and address this complex, dynamic, and nonlinear social phenomenon. We conducted a systematic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9b97ce6615e220277fe934779287e77f
https://europepmc.org/articles/PMC9005056/
https://europepmc.org/articles/PMC9005056/
Publikováno v:
J Econom
This paper develops a new estimation procedure for ultrahigh dimensional sparse precision matrix, the inverse of covariance matrix. Regularization methods have been proposed for sparse precision matrix estimation, but they may not perform well with u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::505ad7f742445d34d150a2a2b9a3aa46
https://pubmed.ncbi.nlm.nih.gov/32773919
https://pubmed.ncbi.nlm.nih.gov/32773919
Publikováno v:
Energy and Buildings. 172:116-124
In the US, building sector consumes approximately 41% of all U.S. primary energy and 70% of all generated electricity. Office building uses the largest percentage of primary and derived energy in the commercial buildings sector. Therefore, energy sav
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f24be83616ce5bc2218604138a6e3311
https://doi.org/10.1016/j.enbuild.2018.04.061
https://doi.org/10.1016/j.enbuild.2018.04.061
Publikováno v:
Econometrics and Statistics. 7:115-133
The composite quantile regression (CQR) method is newly proposed to estimate the generalized autoregressive conditional heteroskedasticity (GARCH) models, with the help of high-frequency data. High-frequency intraday log-return processes are embedded
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72923ad5f7b387ba2d72cd361ebedc29
https://doi.org/10.1016/j.ecosta.2016.11.004
https://doi.org/10.1016/j.ecosta.2016.11.004
Publikováno v:
Acta Mathematicae Applicatae Sinica, English Series. 34:516-533
This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration (Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator under weak moment conditions suitab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::596a8bc3ffccc520a1dfb4c5b054a5ff
https://doi.org/10.1007/s10255-018-0766-6
https://doi.org/10.1007/s10255-018-0766-6
Autor:
Liuqing Yang, Bowen Xiao, Christina Dan Wang, Qian Chen, Xiao-Yang Liu, Runjia Zhang, Hongyang Yang
Publikováno v:
SSRN Electronic Journal.
As deep reinforcement learning (DRL) has been recognized as an effective approach in quantitative finance, getting hands-on experiences is attractive to beginners. However, to train a practical DRL trading agent that decides where to trade, at what p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7b5afd94a1c602ef0085cf84a151188
https://doi.org/10.2139/ssrn.3737859
https://doi.org/10.2139/ssrn.3737859
Autor:
Per A. Mykland, Christina Dan Wang
Publikováno v:
Journal of the American Statistical Association. 109:197-215
The leverage effect has become an extensively studied phenomenon that describes the (usually) negative relation between stock returns and their volatility. Although this characteristic of stock returns is well acknowledged, most studies of the phenom
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ad0cb0663d83e9907816f5bedf52402
https://doi.org/10.1080/01621459.2013.864189
https://doi.org/10.1080/01621459.2013.864189
Publikováno v:
Journal of the American Statistical Association, 112(520), 1744-1758. Taylor and Francis Ltd.
This article examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Ito semimartingales. We decompose t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::769b66deb333a8a9354743a6e1cad96d
https://dare.uva.nl/personal/pure/en/publications/estimation-of-the-continuous-and-discontinuous-leverage-effects(b7df7aed-aa5d-4e89-a569-85a2dc00e4e9).html
https://dare.uva.nl/personal/pure/en/publications/estimation-of-the-continuous-and-discontinuous-leverage-effects(b7df7aed-aa5d-4e89-a569-85a2dc00e4e9).html