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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:12/0  |  Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  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:15/0  |  Submit date:2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
A regression-based numerical scheme for backward stochastic differential equations Journal article
COMPUTATIONAL STATISTICS, 2017,Volume: 32,Issue: 4,Page: 1357-1373
Authors:  Deng DING;  Yiqi Liu
Favorite  |  View/Download:1/0  |  Submit date:2019/07/23
Characteristic Functions  Least-squares Regressions  Monte Carlo Methods  European Options  
Determining the integrated volatility via limit order books with multiple records Journal article
Quantitative Finance, 2017,Volume: 17,Issue: 11,Page: 1697-1714
Authors:  YIQI LIU;  QIANG LIU;  ZHI LIU;  DENG DING
Favorite  |  View/Download:9/0  |  Submit date:2019/05/22
High-frequency Data  Integrated Volatility  Limit Order Books  Microstructure Noise  Multiple Records