Selected Publications

  • Wang, Y. (2002) Asymptotic nonequivalence of GARCH models and diffusions. Annals of Statistics 30, 754-783. Download: ps file pdf file

  • Brown, L. D., Wang, Y. and Zhao, L. (2003) Statistical equivalence at suitable frequencies of GARCH and stochastic volatility models with the corresponding diffusion model. Statistica Sinica 13, 993-1013. Download: ps file pdf file

  • Fan, J. and Wang, Y. (2007) Multi-scale Jump and Volatility Analysis for High-Frequency Financial Data. Journal of the American Statistical Association 102, 1349-1362. Download: pdf file

  • Fan, J. and Wang, Y. (2008). Estimation of spot volatility for high-frequency financial data. Statistics and Its Interface 1, 279-288. Download: pdf file

  • Duan, J. C., Wang, Y. and Zou, J. (2009). Convergence Speed of GARCH Option Price to Diffusion Option Price. International Journal of Theoretical and Applied Finance 12, 359-391. Download: pdf file

  • Wang, Y. and Zou, J. (2010). Vast volatility matrix estimation for high-frequency financial data. Annals of Statistics 38, 943-978. Download: pdf file

  • Tao, M., Wang, Y., Yao, Q. and Zou, J. (2011). Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches. Journal of the American Statistical Association 106, 1025-1040. Download: pdf file

  • Tao, M., Wang, Y. and Chen, X. (2013). Fast Convergence Rates in Estimating Large Volatility Matrices Using High-Frequency Financial Data. Econometric Theory 29 (4), 838-856. doi:10.1017/S0266466612000746 Download: pdf file

  • Tao, M., Wang, Y. and Zhou, H. H. (2013). Optimal Sparse Volatility Matrix Estimation for High Dimensional It^o Processes With Measurement Errors. Annals of Statistics 41, 1816-1864. Download: pdf file

  • Wang, Y. and Zhang, X. (2013). Heterogenous Autoregressive Realized Volatility Model. In State-Space Models and Applications in Economics and Finance (eds. Wu and Zeng), Chapter 14, pp. 311-320. Springer

  • Liu, Y. and Wang, Y. (2013). Volatility estimation by combining stock price data and option data. Statistics and Its Interface 6, 427-433. Download: pdf file

  • Wang, Y. and Zou, J. (2014). Volatility Analysis in High-Frequency Financial Data. WIREs: Computational Statistics 6(6):393-404.

  • Kim, D., Kong, X., Li, C., and Wang, Y. (2016). Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data.

  • Kim, D., Liu, Y. and Wang, Y. (2016). Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data.

  • Kim, D., Wang, Y. and Zou, J. (2016). Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. Stochastic Processes and Their Applications, DOI:10.1016/j.spa.2016.05.004.

  • Kim, D. and Wang, Y. (2016). Unified discrete-time and continuous-time models and statistical inference for merged low-frequency and high-frequency data. Journal of Econometrics 194, 220-230, DOI: 10.1016/j.jeconom.2016.05.003

  • Zhang, X., Kim, D. and Wang, Y. (2016). Jump variation estimation with noisy high-frequency financial data via wavelets. Econometrics 4(3), 34.

  • Kim, D. and Wang, Y. (2016). Sparse PCA based on high-dimensional Ito processes with measurement errors. Journal of Multivariate Analysis 152, 172-189.

  • Guo, S., Wang, Y. and Yao, Q. (2016+). High-dimensional and banded vector autoregressions. To appear in Biometrika.