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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 Econometrics

Cambridge Working Papers in Economics

Ding, Y. Conditional Heteroskedasticity in the Volatility of Asset Returns, (2021) CWPE2179
Ding, 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