Dachuan Chen

发表

The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data

Lan Zhang, P. Mykland, Lan Zhang, 2018, Journal of the American Statistical Association.

Estimating jump–diffusions using closed-form likelihood expansions

Chenxu Li, Dachuan Chen, 2016 .

Asymptotic Independence of the Quadratic form and Maximum of Independent Random Variables with Applications to High-Dimensional Tests

Long Feng, Dachuan Chen, 2022, 2204.08628.

Efficient computation of the likelihood expansions for diffusion models

Yu An, Chenxu Li, Dachuan Chen, 2016 .

Closed-form expansion for option price under stochastic volatility model with concurrent jumps

Chenxu Li, Dachuan Chen, 2022, IISE Transactions.

Rank Based Tests for High Dimensional White Noise

Long Feng, Dachuan Chen, 2022, 2204.08402.

Jackknife Empirical Likelihood For The Correlation Coefficient With Additive Distortion Errors

Dachuan Chen, 2022 .

High‐dimensional non‐parametric tests for linear asset pricing models

Xuemin Zi, Dachuan Chen, Ping Zhao, 2022, Stat.

The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models

C. Tang, Chenxu Li, Dachuan Chen, 2023, Journal of Business & Economic Statistics.

Realized regression with asynchronous and noisy high frequency and high dimensional data

P. Mykland, Lan Zhang, Dachuan Chen, 2023, Journal of Econometrics.

The Algebra of Two Scales Estimation, and the S-TSRV: High Frequency Estimation That Is Robust to Sampling Times

P. Mykland, Lan Zhang, Dachuan Chen, 2018, Journal of Econometrics.

Asymptotic Independence of the Quadratic form and Maximum of Independent Random Variables with Applications to High-Dimensional Tests

Long Feng, Dachuan Chen, 2022, 2204.08628.