PhD Title
Essays in Volatility Modelling
Research Interests
Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance
Recent Publications
Job Market Paper
Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility, (2023) Journal of EconometricsCambridge Working Papers in Economics
Ding, Y. Conditional Heteroskedasticity in the Volatility of Asset Returns, (2021) CWPE2179Ding, Y. Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility, (2021) CWPE2112
Ding, Y. Diffusion Limits of Real-Time GARCH, (2020) CWPE20112
Supervisory Team
Supervisor
Professor Oliver Linton
Advisor
Professor Alexey Onatskiy