Research interests:
- High-frequency financial econometrics
- Financial engineering
- Applied Probability & Statistics
Selected research articles:
- “Quantile Clocks”, with L.F. James, Annals of Applied Probability, 21(2011), 1627-1662
- “Volatility Inference in The Presence of Both Endogenous Time and Microstructure Noise”, with Y. Li and X. Zheng, Stochastic Processes and their Applications, 123(2013), 2695-2726
- “Exact Simulation Pricing with Gamma Processes and Their Extensions”, with L.F. James and D. Kim, Journal of Computational Finance, 17(2013), 3-39. DOI:10.21314/JCF.2013.259
- "Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation", with Lancelot F. James and Gernot Mueller, Journal of Business & Economic Statistics, 2015, forthcoming.
- "A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise", with Yingying Li and Yichu Li, Journal of Econometrics, 2017, accepted. DOI:10.1016/j.jeconom.2017.11.006
- "A Combined Filtering Approach to High-Frequency Volatility Estimation with Mixed-Type Microstructure Noises", with Yinfen Tang, Applied Stochastic Models in Business and Industry, 2018, forthcoming
- "Sequential Sampling for CGMY Processes via Decomposition of their Time Changes", with Chengwei Zhang, Naval Research Logistics, 2018, accepted.
- "Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps", with Yingying Li and Guangying Liu, Journal of Econometrics, 2021, accepted.
- "Intraday Periodic Volatility Curves", with Torben G. Andersen, Tao Su and Viktor Todorov, Journal of the American Statistical Association, 2023, accepted.