Sibo Yan

Independent

SCHOLARLY PAPERS

3

DOWNLOADS

154

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Volatility and Returns: Evidence from China

Number of pages: 36 Posted: 05 Aug 2019
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Paraconic Technologies US Inc., Independent and Compass Lexecon
Downloads 121 (265,222)

Abstract:

Loading...

volatility, returns, portfolio management, forecasting

2.

Estimating a Local Heston Model

Number of pages: 50 Posted: 01 Feb 2018
University of California, Los Angeles (UCLA) - Department of Economics, Independent, University of California, Los Angeles (UCLA) and Independent
Downloads 33 (516,071)
Citation 1

Abstract:

Loading...

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
Paraconic Technologies US Inc., Independent and Compass Lexecon

Abstract:

Loading...

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