Sibo Yan

Independent

SCHOLARLY PAPERS

3

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364

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Scholarly Papers (3)

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1.

Volatility and Returns: Evidence from China

Number of pages: 36 Posted: 05 Aug 2019
Yeguang Chi, Xiao Qiao, Sibo Yan and Binbin Deng
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), School of Data Science, City University of Hong Kong, Independent and Compass Lexecon
Downloads 291 (162,528)

Abstract:

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volatility, returns, portfolio management, forecasting

2.

Estimating a Local Heston Model

Number of pages: 50 Posted: 01 Feb 2018
Bryan Ellickson, Miao Sun, Duke Whang and Sibo Yan
University of California, Los Angeles (UCLA) - Department of Economics, Independent, University of California, Los Angeles (UCLA) and Independent
Downloads 73 (488,572)
Citation 2

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Heston model, volatility, high-frequency data, GMM

3.

Downside Volatility-Managed Portfolios

Journal of Portfolio Management, Forthcoming
Posted: 01 Sep 2018 Last Revised: 18 May 2020
Xiao Qiao, Sibo Yan and Binbin Deng
School of Data Science, City University of Hong Kong, Independent and Compass Lexecon

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volatility, portfolio management, downside volatility, asymmetry, mean variance