Jin Zhang

Illinois Institute of Technology

Assistant Professor of Finance

565 West Adams Street

Chicago, IL 60661

United States

SCHOLARLY PAPERS

2

DOWNLOADS

461

CITATIONS

0

Scholarly Papers (2)

1.

Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets

Quantitative Finance, Forthcoming.
Number of pages: 30 Posted: 01 Nov 2010 Last Revised: 16 Oct 2012
Kris Boudt and Jin Zhang
Vrije Universiteit Brussel (VUB) and Illinois Institute of Technology
Downloads 238 (101,050)

Abstract:

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 Illinois Institute of Technology
Downloads 203 (107,938)

Abstract:

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