Langnan Chen

Finance · 2017

A researcher in the Science corpus: 1 paper; trusts 1 researcher and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it

Whom Langnan Chen trusts overall

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

1. Ole E. Barndorff-Nielsen

Papers from Langnan Chen's perspective

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

1. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
2. Separating Microstructure Noise from Volatility
3. Generalized autoregressive conditional heteroskedasticity
4. A Simple Long Memory Model of Realized Volatility
5. The distribution of realized stock return volatility
6. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
7. The jump-risk premia implicit in options: evidence from an integrated time-series study $
8. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
9. Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
10. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Their papers

• Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity (2017) — 69 citations