Christina Dan Wang

Columbia University - Department of Statistics

Mail Code 4403

New York, NY 10027

United States

http://stat.columbia.edu/~dwang/

SCHOLARLY PAPERS

3

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CITATIONS
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20

Scholarly Papers (3)

1.

The Estimation of Leverage Effect with High Frequency Data

Journal of the American Statistical Association, Forthcoming
Number of pages: 44 Posted: 30 Aug 2011 Last Revised: 13 Nov 2014
Christina Dan Wang and Per A. Mykland
Columbia University - Department of Statistics and University of Chicago - Department of Statistics
Downloads 421 (67,562)
Citation 17

Abstract:

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consistency, discrete observation, efficiency, Itˆo process, leverage effect, realized volatility, stable convergence, skewness, microstructure noise

2.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 373 (77,920)
Citation 5

Abstract:

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3.

Estimating and Forecasting Volatility Using Leverage Effect

Number of pages: 33 Posted: 27 Dec 2017
Christina Dan Wang, Per A. Mykland and Lan Zhang
Columbia University - Department of Statistics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 41 (415,463)

Abstract:

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Integrated Volatility, Leverage Effect, Realized Volatility, Discrete Observation, Itộ Process, Microstructure Noise, Pre-Averaging, Stable Convergence