← All authors Yazhen Wang Korea Advanced Institute of Science and Technology (from arXiv:2102.13467, 2021) · ORCID · OpenAlex
41 papers in scope · 41 published · 1 on the econ.EM arXiv · 1,454 citations · h-index 19 (over the papers listed here)
Papers (2 of 41)
Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
published 2025 · Journal of Econometrics · 3 citations · first circulated 2021
Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
published 2024 · Journal of Econometrics · 5 citations · first circulated 2023
Factor Overnight GARCH-Itô Models
published 2023 · Journal of Financial Econometrics · 1 citations · first circulated 2022
published 2022 · Journal of Business and Economic Statistics · 8 citations · first circulated 2021
published 2022 · Journal of Multivariate Analysis · 4 citations · first circulated 2020
Optimal High-Order Tensor SVD via Tensor-Train Orthogonal Iteration
published 2022 · IEEE Transactions on Information Theory · 19 citations · first circulated 2020
with Yuchen Zhou, Anru R. Zhang, Lili Zheng
Conditional quantile analysis for realized GARCH models
published 2021 · Journal of Time Series Analysis · 1 citations
Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
published 2020 · Journal of Statistical Planning and Inference · 3 citations
Quantum Annealing via Path-Integral Monte Carlo With Data Augmentation
published 2020 · Journal of Computational and Graphical Statistics · 4 citations
with Jianchang Hu
Volatility analysis with realized GARCH-Itô models
published 2020 · Journal of Econometrics · 49 citations · first circulated 2019
GARCH quasi-likelihood ratios for SV model and the diffusion limit
published 2020 · Statistics & Probability Letters
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
published 2018 · Bernoulli · 34 citations
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
published 2017 · Journal of Econometrics · 29 citations
Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing
published 2017 · Statistical Theory and Related Fields · 1 citations
Hypothesis tests for large density matrices of quantum systems based on Pauli measurements
published 2016 · Physica A Statistical Mechanics and its Applications · 2 citations
High-dimensional and banded vector autoregressions
published 2016 · Biometrika · 75 citations · first circulated 2015
Sparse PCA-based on high-dimensional Itô processes with measurement errors
published 2016 · Journal of Multivariate Analysis · 19 citations
Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
published 2016 · Econometrics · 21 citations
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
published 2016 · Journal of Econometrics · 54 citations
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
published 2016 · Stochastic Processes and their Applications · 67 citations
Volatility analysis in high‐frequency financial data
published 2014 · Wiley Interdisciplinary Reviews Computational Statistics · 6 citations
with Jian Zou
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
published 2013 · The Annals of Statistics · 68 citations
with Minjing Tao, Harrison H. Zhou
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
published 2013 · Econometric Theory · 55 citations
Volatility estimation by combining stock price data and option data
published 2013 · Statistics and Its Interface · 4 citations
with Yi Liu
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
published 2011 · Journal of the American Statistical Association · 102 citations
Vast volatility matrix estimation for high-frequency financial data
published 2010 · The Annals of Statistics · 142 citations
with Jian Zou
Multiscale Methods and Statistics: A Productive Marriage
published 2009 · Statistica Sinica
with Tianxi Cai, Thomas C. M. Lee, Marianna Pensky, Patrick J. Wolfe
no link
CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
published 2009 · International Journal of Theoretical and Applied Finance · 10 citations
with Jin-Chuan Duan, Jian Zou
The Wills functional for Poisson processes
published 2008 · Statistics & Probability Letters · 3 citations
with Richard A. Vitale
Spot volatility estimation for high-frequency data
published 2008 · Statistics and Its Interface · 95 citations
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
published 2007 · Journal of the American Statistical Association · 246 citations · first circulated 2006
Defining neighborhood boundaries: Are census tracts obsolete?
published 2006 · Journal of Urban Economics · 121 citations
with John M. Clapp
Wavelet modeling of priors on triangles
published 2004 · Journal of Multivariate Analysis · 1 citations
with Dipak K. Dey
Limiting distribution for monotone median regression
published 2002 · Journal of Statistical Planning and Inference · 12 citations
with Jian Huang
Asymptotic nonequivalence of GARCH models and diffusions
published 2002 · The Annals of Statistics · 110 citations
A rank test for equality of two multivariate populations vs a particular ordered alternative
published 1998 · Computational Statistics & Data Analysis · 1 citations
with Yi-Ju Chen, John E. Hewett, J.L. Johnson
Change Curve Estimation via Wavelets
published 1998 · Journal of the American Statistical Association · 16 citations
Jump and Sharp Cusp Detection by Wavelets
published 1995 · Biometrika · 25 citations
The L 1 theory of estimation of monotone and unimodal densities
published 1995 · Journal of nonparametric statistics · 11 citations
A bartlett-type adjustment for the likelihood ratio statistic with an ordered alternative
published 1994 · Statistics & Probability Letters · 8 citations
The limit distribution of the concave majorant of an empirical distribution function
published 1994 · Statistics & Probability Letters · 19 citations
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