Yazhen Wang

Finance · 2008–2016

A researcher in the Science corpus: 7 papers; trusts 46 researchers and is trusted by 396 researchers here, as inferred from the citation graph.

Subfields

• Finance — 63 citations into it; #1,605 of 10,518 by trust here, #2,951 by citations
• Economics and Econometrics — 51 citations into it; #4,180 of 23,481 by trust here, #9,444 by citations
• Statistics and Probability — 48 citations into it; #7,097 of 12,932 by trust here, #7,508 by citations
• Artificial Intelligence — 30 citations into it; #750 of 35,345 by trust here, #2,401 by citations
• Computational Mechanics — 11 citations into it
• Computational Theory and Mathematics — 11 citations into it; #15 of 12,182 by trust here, #126 by citations
• Atomic and Molecular Physics, and Optics — 6 citations into it; #3 of 7,135 by trust here, #262 by citations
• Computer Networks and Communications — 6 citations into it

Whom Yazhen Wang trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andrew M. Childs
2. Ole E. Barndorff-Nielsen
3. Lan Zhang
4. N. Shephard
5. Peter J. Bickel
6. Michael Nussbaum
7. Noureddine El Karoui
8. Torben G. Andersen
9. R. Rivest
10. David L. Donoho

Who trusts Yazhen Wang overall

1. Kevin B. Clark
2. Seth Lloyd
3. B. Yoshida
4. Alastair Kay
5. Salvador Elías Venegas-Andraca
6. Suguru Endo
7. Ashley Montanaro
8. Craig Gidney
9. Nicolas C. Menicucci
10. Daniel A. Lidar

Papers from Yazhen Wang's perspective

Ordered by how strongly the researchers Yazhen Wang trusts endorse each paper. Same corpus, a different order for every researcher.

1. ANOVA for diffusions and Itô processes
2. Realized Variance and Market Microstructure Noise
3. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
4. Covariance matrix selection and estimation via penalised normal likelihood
5. Regression Shrinkage and Selection via the Lasso
6. Ideal spatial adaptation by wavelet shrinkage
7. Generalized autoregressive conditional heteroskedasticity
8. MODELING AND FORECASTING REALIZED VOLATILITY
9. Sparsistency and Rates of Convergence in Large Covariance Matrix Estimation (Annals of Statistics)
10. Separating Microstructure Noise from Volatility

Their papers

• Quantum Computation and Quantum Information (2012) — 23,692 citations
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (2013) — 52 citations
• VAST VOLATILITY MATRIX ESTIMATION FOR HIGH-FREQUENCY FINANCIAL DATA (2010) — 142 citations
• OPTIMAL SPARSE VOLATILITY MATRIX ESTIMATION FOR HIGH-DIMENSIONAL ITÔ PROCESSES WITH MEASUREMENT ERRORS (2013) — 73 citations
• High Dimensional and Banded Vector Autoregressions (2015) — 78 citations
• Spot volatility estimation for high-frequency data ∗ (2008) — 84 citations
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (2016) — 59 citations