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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:23/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
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