Dachuan Chen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
High dimensional regression coefficient test with high frequency data Journal of Econometrics	2026-02-24	Paper
Rank based tests for high dimensional white noise Statistica Sinica	2025-09-12	Paper
High frequency factor analysis with partially observable factors Journal of Econometrics	2025-09-12	Paper
Closed-form expansion of option prices under stochastic volatility model Chinese Journal of Applied Probability and Statistics	2025-09-08	Paper
Spatial-sign-based high-dimensional white noises test Statistical Theory and Related Fields	2025-01-10	Paper
Asymptotic independence of the quadratic form and maximum of independent random variables with applications to high-dimensional tests Acta Mathematica Sinica, English Series	2025-01-10	Paper
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models Journal of Business and Economic Statistics	2024-10-28	Paper
High-dimensional non-parametric tests for linear asset pricing models Stat	2024-05-27	Paper
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times Journal of Econometrics	2024-03-21	Paper
Realized regression with asynchronous and noisy high frequency and high dimensional data Journal of Econometrics	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 Journal of the American Statistical Association	2021-01-22	Paper
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times Journal of Econometrics	2019-04-26	Paper
Estimating jump-diffusions using closed-form likelihood expansions Journal of Econometrics	2016-09-13	Paper

Research outcomes over time

This page was built for person: Dachuan Chen