Jin Zhang

Bank of America

Vice President

225 LIBERTY ST

NEW YORK, NY 10281

United States

SCHOLARLY PAPERS

2

DOWNLOADS

479

CITATIONS

0

Scholarly Papers (2)

1.

Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets

Quantitative Finance, Vol. 15, No. 6, 1041-1054
Number of pages: 30 Posted: 01 Nov 2010 Last Revised: 08 Nov 2017
Kris Boudt and Jin Zhang
Vrije Universiteit Brussel (VUB) and Bank of America
Downloads 245 (106,892)

Abstract:

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High frequency data, Integrated (co)variance, Jumps, Market microstructure noise, Realized volatility budget

2.

Index Arbitrage and Refresh Time Bias in Covariance Estimation

Number of pages: 16 Posted: 15 Jan 2012 Last Revised: 23 Jan 2012
Dale W. R. Rosenthal and Jin Zhang
University of Illinois at Chicago - Department of Finance and Bank of America
Downloads 203 (111,933)

Abstract:

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high-frequency volatility estimation, refresh times, bias, data cleaning