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On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
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The impact of COVID-19 on the Chinese stock market : sentimental or substantial?
Sun, Yunchuan; Wu, Mengyuan; Zeng, Xiaoping; Peng, Zihan - In: Finance research letters 38 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012490955
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Trend breaks and the persistence of closed‐end fund discounts
Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2023
Persistent link: https://www.econbiz.de/10014514160
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Identifying latent factors based on high-frequency data
Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
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Trend breaks and the persistence of closed‐end mutual fund discounts
Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2023
Persistent link: https://www.econbiz.de/10014249739
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A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
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The reduced-rank beta in linear stochastic discount factor models
Sun, Yang; Zhang, Xuan; Zhang, Zhekai - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472971
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Targets' accounting conservatism and the gains from acquisition
Ahmed, Anwer S.; Chen, Lucy Huajing; Duellman, Scott; … - In: Contemporary accounting research : the journal of the … 40 (2023) 1, pp. 7-40
Persistent link: https://www.econbiz.de/10014288685