8 citations · 16 across the 5 of their papers we have counts for
6 papers
Penalized Sparse Covariance Regression with High Dimensional Covariates
Yuan Gao, Zhiyuan Zhang, Zhanrui Cai +3
Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (…
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…
Sequential Sampling for CGMY Processes via Decomposition of their Time Changes
Chengwei Zhang, Zhiyuan Zhang
We present a new and easy-to-implement sequential sampling method for CGMY processes with either finite or infinite variation, exploiting the time change representation of the CGMY…
Exact simulation pricing with Gamma processes and their extensions
Lancelot F. James, Dohyun Kim, Zhiyuan Zhang
Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analy…
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a sett…
Quantile clocks
Lancelot F. James, Zhiyuan Zhang
Quantile clocks are defined as convolutions of subordinators , with quantile functions of positive random variables. We show that quantile clocks can be chosen to be strictly in…