Items where Author is "Yu, Shifan"
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Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2025) Realized candlestick wicks. Journal of Econometrics, 250: 106014. ISSN 0304-4076
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. ISSN 0143-9782 (In Press)
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.