2024

2024

  1. "Sound and Fury": nonlinear functionals of volatility matrix in the presence of jump and noise Chen, Richard Y. preprint 2024 [HTML] [PDF]

2020

2020

  1. High-frequency functional inference of dynamic aata in time and frequency Domains Chen, Richard Y. Ph.D. Dissertation, the University of Chicago 2020 [HTML]

2019

2019

  1. The Fourier transform method for volatility functional inference by asynchronous observations Chen, Richard Y. preprint 2019 [HTML] [PDF]

2018

2018

  1. Inference for volatility functionals of multivariate Itô semimartingales observed with jump and noise Chen, Richard Y. preprint 2018 [HTML] [PDF]

2017

2017

  1. Model-free approaches to discern non-stationary market microstructure noise and time-varying liquidity in high-frequency data Chen, Richard Y., and Mykland, Per A. Journal of Econometrics 2017 [HTML] [PDF]