Essays on High-Frequency Financial Data Analysis

by DONG, Yingjie
Published 2015

On estimating market microstructure noise variance

by DONG, Yingjie, TSE, Yiu Kuen
Published 2017

Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility

by Dong, Yingjie, Tse, Yiu Kuen
Published 2014

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

by TSE, Yiu Kuen, DONG, Yingjie
Published 2014

Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach

by DONG, Yingjie, TSE, Yiu Kuen
Published 2018

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

by DONG, Yingjie, TSE, Yiu Kuen
Published 2017

Forecasting large covariance matrix with high-frequency data: A factor approach for the correlation matrix

by DONG, Yingjie, TSE, Yiu Kuen
Published 2020

Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model

by DONG, Yingjie, HUANG, Wenxin, TSE, Yiu Kuen
Published 2023

The exchange rate system reform in China: Some important results

by YIP, Paul S. L., TSE, Yiu Kuen, DONG, Yingjie
Published 2022