CUFinder

Lan Zhang

Lan Zhang

University of Illinois at Chicago

H-index: 20

North America-United States

About Lan Zhang

Lan Zhang, With an exceptional h-index of 20 and a recent h-index of 16 (since 2020), a distinguished researcher at University of Illinois at Chicago, specializes in the field of Financial Econometrics, Quantitative Finance, High Frequency Data, Interface between Finance and Statistics.

His recent articles reflect a diverse array of research interests and contributions to the field:

Realized regression with asynchronous and noisy high frequency and high dimensional data

A CLT for second difference estimators with an application to volatility and intensity

High Dimensional Beta Test with High Frequency Data

The Observed Asymptotic Variance: Hard edges, and a regression approach

The five trolls under the bridge: Principal component analysis with asynchronous and noisy high frequency data

Lan Zhang Information

University

Position

Professor of Finance

Citations(all)

8247

Citations(since 2020)

2509

Cited By

7552

hIndex(all)

20

hIndex(since 2020)

16

i10Index(all)

28

i10Index(since 2020)

19

Email

Access Email

University Profile Page

University of Illinois at Chicago

Google Scholar

View Google Scholar Profile

Lan Zhang Skills & Research Interests

Financial Econometrics

Quantitative Finance

High Frequency Data

Interface between Finance and Statistics

Top articles of Lan Zhang

Title

Journal

Author(s)

Publication Date

Realized regression with asynchronous and noisy high frequency and high dimensional data

Journal of Econometrics

Dachuan Chen

Per A Mykland

Lan Zhang

2024/2/1

A CLT for second difference estimators with an application to volatility and intensity

The Annals of Statistics

Emil A Stoltenberg

Per A Mykland

Lan Zhang

2022/8

High Dimensional Beta Test with High Frequency Data

Available at SSRN 4139323

Dachuan Chen

Long Feng

Per A Mykland

Lan Zhang

2022/6/16

The Observed Asymptotic Variance: Hard edges, and a regression approach

Journal of econometrics

Per A Mykland

Lan Zhang

2021/5/1

The five trolls under the bridge: Principal component analysis with asynchronous and noisy high frequency data

Journal of the American Statistical Association

Dachuan Chen

Per A Mykland

Lan Zhang

2020/12/11

See List of Professors in Lan Zhang University(University of Illinois at Chicago)