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Estimating the integrated volatility using high-frequency data with zero durations Journal article
JOURNAL OF ECONOMETRICS, 2018,Volume: 204,Issue: 1,Page: 18-32
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite  |  View/Download:24/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2018
Authors:  Yuta Koike;  Zhi Liu
Favorite  |  View/Download:4/0  |  Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
Testing for pure-jump processes for high-frequency data Journal article
Annals of Statistics, 2015,Volume: 43,Issue: 2,Page: 847
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite  |  View/Download:3/0  |  Submit date:2018/10/30
Integrated volatility  Itô semimartingale  Pure-jump process  Realized characteristic function  
On integrated volatility of Itô semimartingales when sampling times are endogenous Journal article
Communications in Statistics - Theory and Methods, 2014,Volume: 43,Issue: 24,Page: 5263-5275
Authors:  Li C.-X.;  Chen J.-Y.;  Liu Z.;  Jing B.-Y.
Favorite  |  View/Download:4/0  |  Submit date:2019/02/14
Central Limit Theorem  Endogeneity  High Frequency Data  Ito  Jumps  Semimartingale  
On the Estimation of Integrated Volatility With Jumps and Microstructure Noise Journal article
Journal of Business and Economic Statistics, 2014,Volume: 32,Issue: 3,Page: 457-467
Authors:  Jing B.-Y.;  Liu Z.;  Kong X.-B.
Favorite  |  View/Download:6/0  |  Submit date:2019/02/14
Central Limit Theorem  High Frequency Data  Quadratic Variation  Semimartingale