Selected Publications

Wang, Y. (2002) Asymptotic nonequivalence of GARCH models and diffusions. The Annals of Statistics 30, 754-783. Download: ps file 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: ps file 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. To appear in the Statistics and Its Interface. Download: pdf file

Duan, J. C., Wang, Y. and Zhou, J. (2008). Convergence Speed of GARCH Option Price to Diffusion Option Price. To be published in International Journal of Theoretical and Applied Finance. Download: pdf file

Wang, Y. and Zou, J. (2008). Vast volatility matrix estimation for high-frequency financial data. Download: pdf file

High Dimensional Volatility Modeling and Analysis for High-Frequency Financial Data (with Qiwei Yao, Pengfei Li and Jian Zou 2007). Download: pdf file