10 citations · 11 across the 9 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
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…
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…