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Ying Tingting on Muck Rack

Ying Tingting

As seen in: Wiley Online Library
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Articles

Can technical indicators based on underlying assets help to predict implied volatility index

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By Shi Yafeng, Yanlong Shi, Ying Tingting
| Wiley Online Library Verified
CONFLICT OF INTEREST STATEMENT The authors declare no conflict of interest. REFERENCES , , & (2021). Moving average distance as a predictor of equity returns. Review of Financial Economics, 39(2), 127–145. , & (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. , , & (1998). The best of both worlds: A hybrid approach to calculating value at risk. Risk, 11(5), 64–67. , & (2012).
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Large covariance estimation using a factor model with common and group‐specific factors

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By Yanlong Shi, Shi Yafeng, Ai Chunrong, Ying Tingting
| Wiley Online Library Verified
Abstract This paper proposes a new approach to estimate large covariance matrices using multilevel factor models. In order to further improve the efficiency of the principal orthogonal complement thresholding estimator (PEOT) and the proposed estimators, the generalized least squares (GLS) method is employed to refine the estimation of the factors. A novel approach to identify number of the factors is proposed for facilitating our estimation procedure.
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