How One Country’s Policy Rate Changes Are Induced by Another: A Linear Hawkes Process Approach
Correcting for Negative Values in Range-based Spread Estimator – A Conditional Auto-Regressive Range (CARR) Approach
Correcting for Negative Values in Range-based Spread Estimator – A Conditional Auto-Regressive Range (CARR) Approach
Can Price Jumps Be Explained by Leverage Effect of Volatility? An HAR-Hawkes framework *Cannot attend
How One Country’s Policy Rate Changes are Induced by Another: A Hawkes Process Approach
Correcting for Negative Values in Range-based Spread Estimator – A Conditional Auto-Regressive Range (CARR) Approach
Amihud Illiquidity, Intraday Volatility Pattern and Price Jump Detection – International Stock Markets Evidence
Range-Based Spread Estimators and Correcting for Their Negative Values
State-dependent intra-day volatility pattern and price jump detection: Evidence from international equity indices
Price Jump Tests, Hawkes Process and Intraday Volatility Pattern
State-dependent intra-day volatility pattern and price jump detection: Evidence from international equity indices
State-dependent intra-day volatility pattern and price jump detection: Evidence from international equity indices
Asymmetric intra-day volatility pattern and price jump detection: Evidence from international equity indices
Leverage Effect Has an Intraday Pattern and Intraday Volatility Pattern Has a Leverage Effect: A Range-based Approach
波動率槓桿效果之日內型態實證研究 – 基於全距的模型估計
An intraday range model with leverage effect in intraday volatility pattern
Leverage Effect in Volatility and Price Jumps: New Empirical Evidence
Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from Exchange Rate
Modelling Over-Dispersion in Price Jumps Arrivals: A Comparison between Poisson Mixtures and Linear Hawkes Model
How stochastic are the innovations to a comprehensive volatility model? A point process analysis on high-frequency data
Some Research Results on Range and Skewness from Teaching Introductory Statistics Using High-frequency Financial Data
Identifying leverage effect in intra-day volatility pattern: Toward a functional data analysis
Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from CHF/EUR Exchange Rate
Applying Statistical Thinking to Bank's Know-Your-Customer (KYC) Questions Design
Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data
Testing for Jumps in Prices under Jump-Driven Leverage Effect in Volatility: A Simulation Study
Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data
Testing for Jumps in Prices Under Jump-Driven Leverage Effect in Volatility: A Simulation Study