Yazhen Wang

University of Wisconsin - Madison - Department of Statistics

716 Langdon Street

Madison, WI 53706-1481

United States

National Science Foundation

4201 Wilson Boulevard

Arlington, VA 22230

United States

SCHOLARLY PAPERS

3

DOWNLOADS

751

CITATIONS
Rank 11,327

SSRN RANKINGS

Top 11,327

in Total Papers Citations

47

Scholarly Papers (3)

1.

Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

Number of pages: 36 Posted: 16 Jan 2007
Jianqing Fan and Yazhen Wang
Princeton University - Bendheim Center for Finance and University of Wisconsin - Madison - Department of Statistics
Downloads 506 (53,832)
Citation 40

Abstract:

Loading...

High-frequency data, integrated volality, microstructure noise, quadratic variation, jump-diffusion, wavelets

2.

Defining Neighborhood Boundaries: Are Census Tracts Obsolete

Number of pages: 47 Posted: 20 Dec 2003
John M. Clapp and Yazhen Wang
University of Connecticut - Department of Finance and University of Wisconsin - Madison - Department of Statistics
Downloads 245 (123,197)
Citation 8

Abstract:

Loading...

GIS, Neighborhoods, CART, classification and regression trees, hedonic models, submarkets, anisotropic spatial autocorrelation

3.

Convergence Speed of GARCH Option Price to Diffusion Option Price

International Journal of Theoretical and Applied Finance, Forthcoming
Posted: 17 May 2010
Jin-Chuan Duan and Yazhen Wang
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Wisconsin - Madison - Department of Statistics

Abstract:

Loading...

Convergence rate, European option, stochastic volatility