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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:22/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS Journal article
ECONOMETRIC THEORY, 2017,Volume: 33,Issue: 2,Page: 331-365
Authors:  Jing, Bing-Yi;  Liu, Zhi;  Kong, Xin-Bing
Favorite  |  View/Download:15/0  |  Submit date:2018/10/30
Sure screening by ranking the canonical correlations Journal article
TEST, 2017,Volume: 26,Issue: 1,Page: 46-70
Authors:  Kong, Xin-Bing;  Liu, Zhi;  Yao, Yuan;  Zhou, Wang
Favorite  |  View/Download:10/0  |  Submit date:2018/10/30
High Dimension  Correlation  Group Screening