Yucheng Sun

Capital University of Economics and Business

Beijing

China

SCHOLARLY PAPERS

2

DOWNLOADS

692

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Realized Networks

Number of pages: 51 Posted: 09 Oct 2014 Last Revised: 03 Feb 2018
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Capital University of Economics and Business
Downloads 495 (80,115)
Citation 6

Abstract:

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Networks, Realized Covariance, Lasso

2.

On the Estimation of Integrated Volatility in the Presence of Jumps and Microstructure Noise

Number of pages: 46 Posted: 10 Jun 2016 Last Revised: 11 Jan 2019
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Capital University of Economics and Business
Downloads 197 (211,881)
Citation 1

Abstract:

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integrated volatility, two-scales realized volatility estimator, realized kernel estimator, jumps, market microstructure noise