Selected Publications

Wang, Y. (2002) Asymptotic nonequivalence of GARCH models and diffusions. Annals of Statistics 30, 754-783. Download: pdf file

Brown, L. D., Wang, Y. and Zhao, L. (2003) Statistical equivalence at suitable frequencies of GARCH and stochastic volatility models with the corresponding diffusion model. Statistica Sinica 13, 993-1013. Download: pdf file

Fan, J. and Wang, Y. (2007) Multi-scale Jump and Volatility Analysis for High-Frequency Financial Data. Journal of the American Statistical Association 102, 1349-1362. Download: pdf file

Fan, J. and Wang, Y. (2008). Estimation of spot volatility for high-frequency financial data. Statistics and Its Interface 1, 279-288. Download: pdf file

Duan, J. C., Wang, Y. and Zou, J. (2009). Convergence Speed of GARCH Option Price to Diffusion Option Price. International Journal of Theoretical and Applied Finance 12, 359-391. Download: pdf file

Wang, Y. and Zou, J. (2010). Vast volatility matrix estimation for high-frequency financial data. Annals of Statistics 38, 943-978. Download: pdf file

Tao, M., Wang, Y., Yao, Q. and Zou, J. (2011). Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches. Journal of the American Statistical Association 106, 1025-1040. Download: pdf file

Tao, M., Wang, Y. and Chen, X. (2013). Fast Convergence Rates in Estimating Large Volatility Matrices Using High-Frequency Financial Data. Econometric Theory 29 (4), 838-856. doi:10.1017/S0266466612000746 Download: pdf file

Tao, M., Wang, Y. and Zhou, H. H. (2013). Optimal Sparse Volatility Matrix Estimation for High Dimensional It^o Processes With Measurement Errors. Annals of Statistics 41, 1816-1864. Download: pdf file

Wang, Y. and Zhang, X. (2013). Heterogenous Autoregressive Realized Volatility Model. In State-Space Models and Applications in Economics and Finance (eds. Wu and Zeng), Chapter 14, pp. 311-320. Springer

Liu, Y. and Wang, Y. (2013). Volatility estimation by combining stock price data and option data. Statistics and Its Interface 6, 427-433. Download: pdf file

Wang, Y. and Zou, J. (2014). Volatility Analysis in High-Frequency Financial Data. WIREs: Computational Statistics 6(6):393-404.

Kim, D. and Wang, Y. (2016). Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. Stochastic Processes and Their Applications 126, 3527-3577.

Kim, D. and Wang, Y. (2016). Unified discrete-time and continuous-time models and statistical inference for merged low-frequency and high-frequency data. Journal of Econometrics 194, 220-230.

Zhang, X., Kim, D. and Wang, Y. (2016). Jump variation estimation with noisy high-frequency financial data via wavelets. Econometrics 4(3), 34.

Kim, D. and Wang, Y. (2016). Sparse PCA based on high-dimensional Ito processes with measurement errors. Journal of Multivariate Analysis 152, 172-189.

Guo, S., Wang, Y. and Yao, Q. (2016). High-dimensional and banded vector autoregressions. Biometrika 103, 889-903.

Song, X. and Wang, Y. (2017). Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing. Statistical Theory and Related Fields 1, 82-91.

Kim, D., Kong, X., Li, C., and Wang, Y. (2018). Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. Journal of Econometrics 203(1), 69-79.

Kim, D., Liu, Y. and Wang, Y. (2018). Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data. Bernolli 24, 3657-3682.

Song, X. and Wang, Y. (2020). GARCH quasi-likelihood ratios for SV model and the diffusion limit. Statistics and Probability Letters 165, 108817.

Song, Kim, Yuan, Cui, Lu, Zhou and Wang, Y. (2021). Volatility analysis with realized GARCH-Ito models. Journal of Econometrics 222, 393-410.

Kim,D., Song, X. and Wang, Y. (2022). Unified discrete-time factor stochastic volatility and continuous-time Ito models for combining inference based on low-frequency and high-frequency data. Journal of Multivariate Analysis 192, 105091.

Kim, D., Oh, M., Wang, Y. (2022). Conditional quantile analysis for realized GARCH models. Journal of Time Series Analysis 43(4), 640-665.

Kim, D., Shin, M. and Wang, Y. (2022). Overnight GARCH-It^o volatility models. Journal of Business & Economic Statistics