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Fractional stochastic volatility model Journal article
Shi, Shuping, Liu, Xiaobin, Yu, Jun. Fractional stochastic volatility model[J]. Journal of Time Series Analysis, 2024.
Authors:  Shi, Shuping;  Liu, Xiaobin;  Yu, Jun
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:1.2/1.4 | Submit date：2024/06/03
Fractional Brownian Motion  Long Memory  Rough Volatility  Spectral Density  Stochastic Volatility  Variance–covariance Matrix  
On the optimal forecast with the fractional Brownian motion Journal article
Wang, Xiaohu, Yu, Jun, Zhang, Chen. On the optimal forecast with the fractional Brownian motion[J]. Quantitative Finance, 2024, 24(2), 337-346.
Authors:  Wang, Xiaohu;  Yu, Jun;  Zhang, Chen
Favorite | TC[WOS]:2 TC[Scopus]:3  IF:1.5/2.2 | Submit date：2024/05/16
Conditional Expectation  Fractional Brownian Motion  Optimal Forecast  
Fractional gaussian noise: Spectral density and estimation methods Journal article
Shi, Shuping, Yu, Jun, Zhang, Chen. Fractional gaussian noise: Spectral density and estimation methods[J]. Journal of Time Series Analysis, 2024.
Authors:  Shi, Shuping;  Yu, Jun;  Zhang, Chen
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/06/03
Change-of-frequency  Fractional Brownian Motion  Fractional Gaussian Noise  Maximum Likelihood  Realised Volatility  Semi-parametric Method  Whittle Likelihood  
Some explicit expressions for GBM with Markovian switching and parameter estimations Journal article
Zhang, Zhenzhong, Wang, Xiaofeng, Tong, Jinying, Zhou, Tiandao, Qin, Zhenjiang. Some explicit expressions for GBM with Markovian switching and parameter estimations[J]. Communications in Statistics—Theory and Methods, 2022.
Authors:  Zhang, Zhenzhong;  Wang, Xiaofeng;  Tong, Jinying;  Zhou, Tiandao;  Qin, Zhenjiang
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:0.6/0.8 | Submit date：2022/07/28
Geometric Brownian Motion  Markovian Switching  Mean Exit Time  Parameter Estimations  
Nonparametric regression with nearly integrated regressors under long-run dependence Journal article
Cai, Zongwu, Jing, Bingyi, Kong, Xinbing, Liu, Zhi. Nonparametric regression with nearly integrated regressors under long-run dependence[J]. ECONOMETRICS JOURNAL, 2017, 20(1), 118-138.
Authors:  Cai, Zongwu;  Jing, Bingyi;  Kong, Xinbing;  Liu, Zhi
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:2.9/4.8 | Submit date：2018/10/30
Local Time  Ornstein-uhlenbeck Fractional Brownian Motion  Unit Root  
A Simple Analytical and Numerical Approach for Pricing Compound Options Journal article
Deng Ding, Chikeong Leong, Xiaoqing Jin. A Simple Analytical and Numerical Approach for Pricing Compound Options[J]. A Journal of Chinese Universities (English Series), 2006, 15(4), 367-374.
Authors:  Deng Ding;  Chikeong Leong;  Xiaoqing Jin
Favorite |   IF:1.9/1.3 | Submit date：2019/07/09
Compound Option  Girsanov Theorem  Bisection Method  European Call Option  Brownian Motion