Duke Whang

University of California, Los Angeles (UCLA)

405 Hilgard Avenue

Box 951361

Los Angeles, CA 90095

United States

  • University of California, Los Angeles (UCLA)

SCHOLARLY PAPERS

2

DOWNLOADS

371

TOTAL CITATIONS

5

Scholarly Papers (2)

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1.

Stocks in the Short Run

Number of pages: 65 Posted: 24 Jun 2011
Bryan Ellickson, Benjamin Hood, Tin Shing Liu, Duke Whang and Peilan Zhou
University of California, Los Angeles (UCLA) - Department of Economics, Parametric Portfolio Associates, LLC, University of California, Los Angeles (UCLA), University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 246 (268,067)
Citation 3

Abstract:

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discrete observation, intraday volatility estimation, quadratic variation, realized volatility, Heston, DJIA, SPDR, VIX

2.

Estimating a Local Heston Model

Number of pages: 50 Posted: 01 Feb 2018
Bryan Ellickson, Miao Sun, Duke Whang and Sibo Yan
University of California, Los Angeles (UCLA) - Department of Economics, Independent, University of California, Los Angeles (UCLA) and Independent
Downloads 125 (487,968)
Citation 2

Abstract:

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Heston model, volatility, high-frequency data, GMM