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q-fin.ST2022
High-Frequency-Based Volatility Model with Network Structure
Huiling Yuan, Guodong Li, Junhui Wang
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The mode…
q-fin.ST2019
Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility
Huiling Yuan, Yong Zhou, Zhiyuan Zhang +1
Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this p…