no code implementations • 14 Apr 2022 • Huiling Yuan, Guodong Li, Junhui Wang
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data.
no code implementations • 14 Jan 2021 • Huiling Yuan, Yong Zhou, Lu Xu, Yun Lei Sun, Xiang Yu Cui
Volatility asymmetry is a hot topic in high-frequency financial market.
Methodology