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On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Communications in Statistics - Theory and Methods, 2013,Volume: 42,Issue: 21,Page: 3889-3901
Authors:  Jing B.-Y.;  Li C.-X.;  Liu Z.
Favorite | View/Download:6/0 | TC[WOS]:2 TC[Scopus]:3 | Submit date:2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
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:7/0 | TC[WOS]:7 TC[Scopus]:9 | Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading