UM

Browse/Search Results:  1-10 of 90 Help

Selected(0)Clear Items/Page:    Sort:
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
SCANDINAVIAN JOURNAL OF STATISTICS, 2019,Volume: 46,Issue: 3,Page: 920-953
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:9/0  |  Submit date:2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
SCANDINAVIAN JOURNAL OF STATISTICS, 2019,Volume: 46,Issue: 3,Page: 920-953
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:2/0  |  Submit date:2020/06/03
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018,Volume: 7,Issue: 3
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite  |  View/Download:11/0  |  Submit date:2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise  
Microstructure, sliding wear and corrosion behavior of bulk nanostructured Co-Ag immiscible alloys Journal article
JOURNAL OF ALLOYS AND COMPOUNDS, 2018,Volume: 748,Page: 961-969
Authors:  Weiwei Zhu;  Cancan Zhao;  Jian Zhou;  Chi Tat Kwok;  Fuzeng Ren
Favorite  |  View/Download:28/0  |  Submit date:2018/10/30
Microstructure  Nanostructured Co-ag  Wear  Corrosion  
Microstructure Incidence on the Bifurcation Domain Topology in Granular Materials Journal article
JOURNAL OF ENGINEERING MECHANICS, 2018,Volume: 144,Issue: 6
Authors:  Veylon, Guillaume;  Nicot, Francois;  Zhu, Huaxiang;  Darve, Felix
Favorite  |  View/Download:15/0  |  Submit date:2018/10/30
Granular materials  Instability  Microstructure  Bifurcation domain  Grain loops  
Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise Journal article
Soft Computing, 2018
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:4/0  |  Submit date:2019/06/10
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise Journal article
SOFT COMPUTING, 2018,Volume: 23,Issue: 14,Page: 5739-5752
Authors:  Li Wang;  Zhi Liu;  · Xiaochao Xi
Favorite  |  View/Download:2/0  |  Submit date:2020/06/03
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
Effects of nanocrystalline microstructure on the dry sliding wear behavior of a Cu-10 at% Ag-10 at% W ternary alloy against stainless steel Journal article
WEAR, 2018,Volume: 402,Page: 1-10
Authors:  Weiwei Zhu;  Cancan Zhao;  Chi Tat Kwok;  Jian Zhou;  Fuzeng Ren
Favorite  |  View/Download:16/0  |  Submit date:2018/10/30
Cu-ag-w Ternary Alloy  Sliding Wear  Microstructure  
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:25/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2018
Authors:  Yuta Koike;  Zhi Liu
Favorite  |  View/Download:4/0  |  Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise