Yi Wang

New York University (NYU) - Department of Information, Operations, and Management Sciences

44 West Fourth Street

New York, NY 10012

United States

SCHOLARLY PAPERS

7

DOWNLOADS

406

SSRN CITATIONS
Rank 40,667

SSRN RANKINGS

Top 40,667

in Total Papers Citations

1

CROSSREF CITATIONS

12

Scholarly Papers (7)

1.

Hypothesis Testing in Predictive Regressions

NYU Working Paper No. FIN-04-030
Number of pages: 49 Posted: 03 Nov 2008
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 118 (238,072)

Abstract:

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2.

Predictive Regression with Order-P Autoregressive Predictor

NYU Working Paper No. 2451/28470
Number of pages: 36 Posted: 06 Jan 2010
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 103 (262,059)

Abstract:

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autoregressive, augmented regression method (ARM)

3.

A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects

NYU Working Paper No. SOR-2006-4
Number of pages: 84 Posted: 03 Nov 2008 Last Revised: 06 Jun 2009
Clifford M. Hurvich and Yi Wang
Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 88 (290,327)
Citation 1

Abstract:

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Tick Time, Long Memory stochastic duration, Information share

4.

A Pure-Jump Transaction-Level Price Model Yielding

NYU Working Paper No. SOR-2009-1
Number of pages: 84 Posted: 20 Jan 2009
Clifford M. Hurvich and Yi Wang
Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 45 (409,123)

Abstract:

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Tick Time, Long Memory stochastic duration, Information share

5.

Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility

NYU Working Paper No. SOR-2007-3
Number of pages: 40 Posted: 03 Nov 2008
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 32 (461,953)
Citation 2

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Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

6.

Propagation of Memory Parameter from Durations to Counts

NYU Working Paper No. SOR-2005-5
Number of pages: 28 Posted: 03 Nov 2008
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 20 (526,580)

Abstract:

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Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

7.

Multiple-Predictor Regressions: Hypothesis Testing

The Review of Financial Studies, Vol. 22, Issue 1, pp. 413-434, 2009
Posted: 03 Jan 2009
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences

Abstract:

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C32, G12