Mingmian Cheng

Department of Finance, Lingnan (University) College, Sun Yat-sen University

Assistant Professor

135 Xingang West Road

Haizhu District

Guangzhou, Guangdong 510275

China

  • Department of Finance, Lingnan (University) College, Sun Yat-sen University

SCHOLARLY PAPERS

4

DOWNLOADS

395

TOTAL CITATIONS

2

Scholarly Papers (4)

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1.

Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

Number of pages: 44 Posted: 14 Jul 2017
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Xiye Yang
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 153 (419,881)
Citation 1

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Forecasting, Latent common volatility factor, Dimension reduction, Factor-augmented regression, High-frequency data, High-dimensional data

2.

Forecasting Volatility Using Double Shrinkage Methods

Number of pages: 47 Posted: 23 Aug 2019
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Xiye Yang
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 140 (451,414)
Citation 1

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Forecasting, Latent Common Volatility Factor, Dimension Reduction, Factoraugmented Regression, High-Frequency Data, High-Dimensional Data

3.

Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence

Number of pages: 41 Posted: 02 Jan 2019
Mingmian Cheng, Norman R. Swanson and Norman R. Swanson
Department of Finance, Lingnan (University) College, Sun Yat-sen University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 52 (844,502)

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Jump Test, Jump Intensity, Sequential Testing Bias, Fixed Time Span, Long Time Span, High-Frequency Data

4.

Forecast Evaluation

Number of pages: 40 Posted: 23 Aug 2019
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Chun Yao
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Barclays
Downloads 50 (860,434)

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Forecasting, Predictive Accuracy Test, Density, Loss Function