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Estimation of spot volatility with superposed noisy data Journal article
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018,Volume: 44,Page: 62-79
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi;  Wang, Li
Favorite  |  View/Download:20/0  |  Submit date:2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
Determining the integrated volatility via limit order books with multiple records Journal article
Quantitative Finance, 2017,Volume: 17,Issue: 11,Page: 1697-1714
Authors:  YIQI LIU;  QIANG LIU;  ZHI LIU;  DENG DING
Favorite  |  View/Download:11/0  |  Submit date:2019/05/22
High-frequency Data  Integrated Volatility  Limit Order Books  Microstructure Noise  Multiple Records  
Simultaneous determination of components with wide polarity and content ranges in Cistanche tubulosa using serially coupled reverse phase-hydrophilic interaction chromatography-tandem mass spectrometry Journal article
JOURNAL OF CHROMATOGRAPHY A, 2017,Volume: 1501,Page: 39-50
Authors:  Yan, Yu;  Song, Qingqing;  Chen, Xiaojia;  Li, Jun;  Li, Peng;  Wang, Yitao;  Liu, Tongxiang;  Song, Yuelin;  Tu, Pengfei
View  |  Adobe PDF(389Kb)  |  Favorite  |  View/Download:390/34  |  Submit date:2018/10/30
Cistanche Tubulosa  Wide Polarity Span  Upper Limit Of Quantitation  Serially Coupled Reverse Phase-hydrophilic  Interaction Chromatography  Simultaneous Determination  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
FINANCE AND STOCHASTICS, 2017,Volume: 21,Issue: 2,Page: 427-469
Authors:  Liu, Zhi
Favorite  |  View/Download:16/0  |  Submit date:2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu Z.
Favorite  |  View/Download:6/0  |  Submit date:2019/02/14
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence  
Realized skewness at high frequency and link to conditional market premium Conference paper
proceedings of Asian Finance Association (AsFA) 2013 Conference, Nanchang, China, 15‐17 JULY 2013
Authors:  Zhi Liu;  Kent Wang;  Junwei Liu
Favorite  |  View/Download:9/0  |  Submit date:2019/06/10
High-frequency  Jump  Microstructure Noise  Realized Skewness  Stock Return Prediction  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:  Wang K.;  Liu J.;  Liu Z.
Favorite  |  View/Download:4/0  |  Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading