Chun Yao

Barclays

United States

SCHOLARLY PAPERS

3

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216

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Scholarly Papers (3)

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1.

Macroeconomic and Financial Uncertainty Measures in a Big Data Environment

Number of pages: 43 Posted: 16 Nov 2021
Weijia Peng, Norman R. Swanson, Norman R. Swanson, Xiye Yang and Chun Yao
Sacred Heart University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics, Rutgers, The State University of New Jersey - Department of Economics and Barclays
Downloads 141 (373,825)

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Latent factor, market volatility, uncertainty, high-frequency data, mixed-frequency data, state space model

2.

Co-jumps, Co-jump Tests and Volatility Forecasting: Monte Carlo and Empirical Evidence

Journal of Risk and Financial Management, forthcoming
Number of pages: 36 Posted: 29 Jul 2022
Weijia Peng and Chun Yao
Sacred Heart University and Barclays
Downloads 39 (779,193)

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volatility forecasting; co-jumps; co-jump tests; heterogeneous autoregressive model; high-frequency data

3.

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 36 (801,551)

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Forecasting, Predictive Accuracy Test, Density, Loss Function