Selected Publications

Wang, Y. (2002) Asymptotic nonequivalence of GARCH models and diffusions. The 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 Zhou, 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

Fast Convergence Rates in Estimating Large Volatility Matrices Using High-Frequency Financial Data (with Chen and Minjing Tao 2011). Download: pdf file

Optimal Volatility Matrix Estimation for High Dimensional Diffusions With Noise Contamination (with Minjing Tao and Harrison H, Zhou 2011). Download: pdf file