Items where Author is "Yu, Shifan"

Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2025) Decoupling Interday and Intraday Volatility Dynamics with Price Durations. Journal of Time Series Analysis, 46 (6). pp. 1224-1250. ISSN 0143-9782

Li, Qiyuan and Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2025) Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times. Journal of Econometrics: 106132. ISSN 0304-4076 (In Press)

Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2025) Realized candlestick wicks. Journal of Econometrics, 250: 106014. ISSN 0304-4076

Yu, Shifan and Nolte, Ingmar and Nolte, Sandra and Li, Yifan (2024) Statistical Inference with High-Frequency Financial Data : New Perspectives from Alternative Observation Schemes. PhD thesis, Accounting and Finance.