2 papers
stat.ME2021
A new volatility model: GQARCH-Itô model
Huiling Yuan, Yong Zhou, Lu Xu +2
Volatility asymmetry is a hot topic in high-frequency financial market. In this paper, we propose a new econometric model, which could describe volatility asymmetry based on high-f…
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…