2 citations · 2 across the 2 of their papers we have counts for
2 papers
stat.ME2019
An interval-valued GARCH model for range-measured return processes
Yan Sun, Guanghua Lian, Zudi Lu +2
Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and s…
stat.ME2015★ 2 cited
Conditional Heteroskedasticity of Return Range Processes
Yan Sun, Jennifer Loveland, Isaac Blackhurst
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [l…