Yintian Wang

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

2

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Top 33,719

in Total Papers Downloads

1,810

SSRN CITATIONS
Rank 15,494

SSRN RANKINGS

Top 15,494

in Total Papers Citations

44

CROSSREF CITATIONS

30

Scholarly Papers (2)

1.

Option Valuation with Long-Run and Short-Run Volatility Components

Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Number of pages: 51 Posted: 11 Feb 2005 Last Revised: 22 Jan 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 1,196 (21,873)
Citation 34

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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure

Volatility Components, Affine Restrictions and Non-Normal Innovations

Number of pages: 41 Posted: 05 May 2008 Last Revised: 21 Nov 2008
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 491 (72,117)
Citation 8

Abstract:

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

Volatility Components, Affine Restrictions and Non-Normal Innovations

CREATES Research Paper No. 2008-10
Number of pages: 43 Posted: 25 Jun 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Montreal and McGill University - Desautels Faculty of Management
Downloads 123 (285,813)
Citation 26

Abstract:

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality