1 citations · 1 across the 2 of their papers we have counts for
3 papers
stat.ME2017
On a spiked model for large volatility matrix estimation from noisy high-frequency data
Keren Shen, Jianfeng Yao, Wai Keung Li
Recently, inference about high-dimensional integrated covariance matrices (ICVs) based on noisy high-frequency data has emerged as a challenging problem. In the literature, a pre-a…
stat.AP2016
On the Surprising Explanatory Power of Higher Realized Moments in Practice
Keren Shen, Jianfeng Yao, Wai Keung Li
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining…
stat.AP2015★ 1 cited
Forecasting High-Dimensional Realized Volatility Matrices Using A Factor Model
Keren Shen, Jianfeng Yao, Wai Keung Li
Modeling and forecasting covariance matrices of asset returns play a crucial role in finance. The availability of high frequency intraday data enables the modeling of the realized…