Zhiyuan Zhang

Shanghai University of Finance and Economics - School of Statistics and Management

Associate Professor

777 Guoding Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

4

DOWNLOADS

496

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise

Number of pages: 78 Posted: 23 Dec 2015 Last Revised: 24 Nov 2017
Yingying Li, Zhiyuan Zhang and Yichu Li
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, Shanghai University of Finance and Economics - School of Statistics and Management and Investment Technology Group
Downloads 256 (145,695)
Citation 6

Abstract:

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High-Frequency Data, Rounding Error, Market Microstructure Noise, Integrated Volatility, Realized Volatility

2.

A Combined Filtering Approach to High-Frequency Volatility Estimation with Mixed-Type Microstructure Noises

Number of pages: 35 Posted: 06 Jan 2017 Last Revised: 24 Aug 2018
Yinfen Tang and Zhiyuan Zhang
Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 160 (224,072)

Abstract:

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High-Frequency Data, Market Microstructure Noise, Price Discreteness, Integrated Volatility,Kalman Filter, Particle Filter

3.

Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Journal of Econometrics, Forthcoming, HKUST Business School Research Paper No. 2021-014
Number of pages: 57 Posted: 09 Mar 2021 Last Revised: 04 Jun 2021
Yingying Li, Guangying Liu and Zhiyuan Zhang
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, School of Statistics and Mathematics, Nanjing Audit University and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 66 (406,752)

Abstract:

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Volatility of Volatility, Central Limit Theorem, High Frequency Data, Microstructure Noise, Semimartingale

4.

Sequential Sampling for CGMY Processes via Decomposition of Their Time Changes

Number of pages: 28 Posted: 03 Aug 2017 Last Revised: 24 Aug 2018
Chengwei Zhang and Zhiyuan Zhang
Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 14 (663,734)

Abstract:

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Sequential Sampling; CGMY Processes; Double CFTP; Option Pricing