Dachuan Chen

Nankai University

Balitai, 94 weijing Rd

Tianjin, Tianjin 300071

SCHOLARLY PAPERS

5

DOWNLOADS

455

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

The Five Trolls Under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data

Number of pages: 78 Posted: 15 Feb 2018
Dachuan Chen, Per A. Mykland and Lan Zhang
Nankai University, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 168 (267,018)
Citation 5

Abstract:

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Asynchronous sampling times, Factor model, High dimensionality, High frequency, Market microstructure noise, Principal component analysis, Spot covariance and precision matrices

2.

Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material

Number of pages: 27 Posted: 11 Jul 2016
Chenxu Li and Dachuan Chen
Peking University - Guanghua School of Management and Nankai University
Downloads 137 (317,012)
Citation 3

Abstract:

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maximum-likelihood estimation, jump-diffusion, discrete observations, transition density, expansion

3.

High Dimensional Beta Test with High Frequency Data

Number of pages: 54 Posted: 28 Jun 2022
Dachuan Chen, Long Feng, Per A. Mykland and Lan Zhang
Nankai University, Nankai University, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 71 (485,281)

Abstract:

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High Dimensionality, Time-Varying Beta Process, High Frequency Data, Hypothesis Tests

4.

The Algebra of Two Scales Estimation, and the S-TSRV: High Frequency Estimation That Is Robust to Sampling Times

Journal of Econometrics, Forthcoming
Number of pages: 33 Posted: 01 Aug 2018
Per A. Mykland, Lan Zhang and Dachuan Chen
University of Chicago - Department of Statistics, University of Illinois at Chicago - Department of Finance and Nankai University
Downloads 41 (622,119)

Abstract:

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Asynchronous Times, Consistency, Discrete Observation, Efficiency, Endogenous Times, Equivalent Martingale Measure, Irregular Times, Ito Process, Leads and Lags, Leverage Effect, Microstructure, Pre-Averaging, Realized Volatility, Robust Estimation, Stable Convergence, Two Scale Estimation

5.

Principal Component Analysis based on Correlation Matrix with Asynchronous and Noisy High Frequency Data

Number of pages: 52 Posted: 16 Jun 2022
Dachuan Chen
Nankai University
Downloads 38 (645,128)

Abstract:

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Asynchronous sampling times, Correlation Matrix, High frequency, Market microstructure noise, Principal component analysis