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20182021
most citedUnified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency

3 citations · 4 across the 5 of their papers we have counts for

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Showing 2019Show all

2 papers · 1 filter

stat.AP2019

Large Volatility Matrix Prediction with High-Frequency Data

Xinyu Song

We provide a novel method for large volatility matrix prediction with high-frequency data by applying eigen-decomposition to daily realized volatility matrix estimators and capturi…

stat.ME2019

Volatility Analysis with Realized GARCH-Ito Models

Xinyu Song, Donggyu Kim, Huiling Yuan +4

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH mo…