Selected Publications

Wang, Y. (2002) Asymptotic nonequivalence of GARCH models and diffusions. The Annals of Statistics 30, 754-783. Download: ps file pdf file

Brown, L. D., Wang, Y. and Zhao, L. (2003) Statistical equivalence at suitable frequencies of GARCH and stochastic volatility models with the corresponding diffusion model. Statistica Sinica 13, 993-1013. Download: ps file pdf file

Fan, J. and Wang, Y. (2007) Multi-scale Jump and Volatility Analysis for High-Frequency Financial Data. Journal of the American Statistical Association 102, 1349-1362. Download: pdf file

High Dimensional Volatility Modeling and Analysis for High-Frequency Financial Data (with Qiwei Yao, Pengfei Li and Jian Zou 2007). Download: pdf file