Dachuan Chen

Available identifiers

Publication	Date of Publication	Type
Spatial-sign-based high-dimensional white noises test	2025-01-10	Paper
Asymptotic independence of the quadratic form and maximum of independent random variables with applications to high-dimensional tests	2025-01-10	Paper
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models	2024-10-28	Paper
High-dimensional non-parametric tests for linear asset pricing models	2024-05-27	Paper
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times	2024-03-21	Paper
Realized regression with asynchronous and noisy high frequency and high dimensional data	2024-03-06	Paper
Spatial-sign based High Dimensional White Noises Test	2023-03-19	Paper
The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data	2021-01-22	Paper
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times	2019-04-26	Paper
Estimating jump-diffusions using closed-form likelihood expansions	2016-09-13	Paper

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