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Monte Carlo simulation of macroeconomic risk with a continuum of agents : the general case
Hammond, Peter J.; Sun, Yeneng - In: Economic theory : official journal of the Society for … 36 (2008) 2, pp. 303-325
Persistent link: https://www.econbiz.de/10003715941
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Monte Carlo simulation of macroeconomic risk with a continuum agents : the general case
Hammond, Peter J. (contributor); Sun, Yeneng (contributor) - 2007
Persistent link: https://www.econbiz.de/10003485067
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An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.; Sun, Y. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
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Monte Carlo simulation of macroeconomic risk with a continuum of agents : the symmetric case
Hammond, Peter J.; Sun, Yeneng - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 743-766
Persistent link: https://www.econbiz.de/10001732966
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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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Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
Mulvey, John M.; Sun, Yifan; Wang, Mengdi; Ye, Jing - In: Quantitative finance 20 (2020) 8, pp. 1239-1261
Persistent link: https://www.econbiz.de/10012262660
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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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Continuous-time random matching
Duffie, Darrell; Qiao, Lei; Sun, Yeneng - 2023 - This version: August 18, 2023
Persistent link: https://www.econbiz.de/10014476657