Jying-Nan Wang

Minghsin University of Science and Technology

Assistant professor

Hsinchu County

Taiwan

SCHOLARLY PAPERS

5

DOWNLOADS

764

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

How Accurate is the Square-Root-Of-Time Rule at Scaling Tail Risk: A Global Study

Number of pages: 30 Posted: 06 Sep 2010 Last Revised: 12 Sep 2010
Jying-Nan Wang, Jin-Huei Yeh and Nick Ying-Pin Cheng
Minghsin University of Science and Technology, National Central University and Vanung University - Department of Finance
Downloads 533 (62,465)
Citation 3

Abstract:

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2.

A Noise-Robust Estimator of Volatility Based on Interquantile Ranges

Number of pages: 38 Posted: 25 Aug 2010
Jin-Huei Yeh, Jying-Nan Wang and Chung-Ming Kuan
National Central University, Minghsin University of Science and Technology and Department of Finance, National Taiwan University
Downloads 107 (300,623)
Citation 2

Abstract:

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Inter quantile range, price jump, realized volatility, range-based volatility, bipower variation, market microstructure noise

3.

Correcting Microstructure Comovement Biases for Integrated Covariance

Finance Research Letters, Vol. 7, No. 3, 2010
Number of pages: 17 Posted: 25 Aug 2010
Jin-Huei Yeh and Jying-Nan Wang
National Central University and Minghsin University of Science and Technology
Downloads 51 (454,135)

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Realized covariance, commonality, market microstructure, bias correction

4.

One Stone with Two Birds: Resolving Pricing and Trading Uncertainties Coinstantaneously

Number of pages: 31 Posted: 16 Mar 2011
Jin-Huei Yeh, Jying-Nan Wang and Yu-Pin Hu
National Central University, Minghsin University of Science and Technology and National Chi Nan University
Downloads 37 (514,523)

Abstract:

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High frequency finance, integrated volatility, market microstructure noise, bias correction, commonality

5.

Measuring Long-Term Tail Risk: Evaluating the Performance of the Square-Root-of-Time Rule

Journal of Empirical Finance, Vol. 47, 2018
Number of pages: 36 Posted: 17 May 2019
Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu
Minghsin University of Science and Technology, Jiangxi University of Finance and Economics - School of Finance and Shanghai Business School
Downloads 36 (519,311)

Abstract:

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Value at risk, Square-root-of-time rule, Serial dependence, Heavy-tail