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Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
SCANDINAVIAN JOURNAL OF STATISTICS, 2019,Volume: 46,Issue: 3,Page: 920-953
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:5/0  |  Submit date:2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Margin trade, short sales and financial stability Journal article
Journal of Economic Interaction and Coordination, 2019
Authors:  Hui Ying Sng;  Yang Zhang;  Huanhuan Zheng
Favorite  |  View/Download:3/0  |  Submit date:2019/11/01
Margin Requirement  Financial Stability  Speculation  Leverage  
Chemical characteristics of brown carbon in atmospheric particles at a suburban site near Guangzhou, China Journal article
ATMOSPHERIC CHEMISTRY AND PHYSICS, 2018,Volume: 18,Issue: 22,Page: 16409-16418
Authors:  Qin, Yi Ming;  Tan, Hao Bo;  Li, Yong Jie;  Li, Zhu Jie;  Schurman, Misha I.;  Liu, Li;  Wu, Cheng;  Chan, Chak K.
Favorite  |  View/Download:16/0  |  Submit date:2019/01/17
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018,Volume: 7,Issue: 3
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite  |  View/Download:10/0  |  Submit date:2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise  
Estimating spot volatility in the presence of infinite variation jumps Journal article
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018,Volume: 128,Issue: 6,Page: 1958-1987
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi
Favorite  |  View/Download:15/0  |  Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise Journal article
Soft Computing, 2018
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:4/0  |  Submit date:2019/06/10
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
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:22/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
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  
Realized Laplace Transform of Volatility with Microstructure Noise Journal article
Scandinavian Journal of Statistics, 2018
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:5/0  |  Submit date:2019/06/10
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Institutional ownership and return volatility in the casino industry Journal article
International Journal of Tourism Research, 2018,Volume: 20,Issue: 2,Page: 204-214
Authors:  Yongjia Lin;  Xiaoqing Fu;  Xinhua Gu;  Haiyan Song
Favorite  |  View/Download:9/0  |  Submit date:2019/08/01
Casino Industry  Institutional Ownership  Stock Return Volatility