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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:17/0  |  Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
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:23/0  |  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  
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  
Asymptotics of Sample Entropy Production Rate for Stochastic Differential Equations Journal article
Journal of Statistical Physics, 2016,Volume: 163,Issue: 5,Page: 1211-1234
Authors:  Wang,Feng Yu;  Xiong,Jie;  Xu,Lihu
Favorite  |  View/Download:6/0  |  Submit date:2019/06/03
Sample Entropy Production Rate  Central Limit Theorem  Moderate Deviation Principle  Logarithmic Iteration Law  Stochastic Differential Equation  Harnack Inequality  
Asymptotics of the Entropy Production Rate for d-Dimensional Ornstein–Uhlenbeck Processes Journal article
Journal of Statistical Physics, 2015,Volume: 160,Issue: 5,Page: 1336-1353
Authors:  Wang,Ran;  Xu,Lihu
Favorite  |  View/Download:4/0  |  Submit date:2019/06/03
Central Limit Theorem  Entropy Production Rate  Functional Inequality  Law Of Iterated Logarithm  Moderate Deviation Principle  Ornstein–uhlenbeck Process  
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  
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:3/0  |  Submit date:2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
B-splines of Blaschke product type Journal article
Computers and Mathematics with Applications, 2011,Volume: 62,Issue: 10,Page: 3669-3681
Authors:  Chen Q.;  Qian T.;  Ren G.;  Wang Y.
Favorite  |  View/Download:6/0  |  Submit date:2019/02/11
B-spline  Blaschke Product  Central Limit Theorem  Fourier Transform  Sinc Function