UM

Browse/Search Results:  1-10 of 11 Help

Selected(0)Clear Items/Page:    Sort:
Edgeworth corrections for spot volatility estimator Journal article
Statistics and Probability Letters, 2020,Volume: 164
Authors:  He,Lidan;  Liu,Qiang;  Liu,Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/11
Central limit theorem  Confidence interval  Edgeworth expansion  High frequency data  Spot volatility  
A rank test for the number of factors with high-frequency data Journal article
Journal of Econometrics, 2019,Volume: 211,Issue: 2,Page: 439-460
Authors:  Kong,Xin Bing;  Liu,Zhi;  Zhou,Wang
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2021/03/11
Continuous-time factor model  High-dimensional Itô process  Idiosyncratic process  
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 |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
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 |  | TC[WOS]:0 TC[Scopus]:1 | 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 |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2020/06/03
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
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 |  | TC[WOS]:2 TC[Scopus]:1 | Submit date:2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
FINANCE AND STOCHASTICS, 2017,Volume: 21,Issue: 2,Page: 427-469
Authors:  Liu, Zhi
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence  
Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 123,Page: 8-16
Authors:  Djouadi, Seddik M.;  Maroulas, Vasileios;  Pan, Xiaoyang;  Xiong, Jie
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/10/30
Consistency  Asymptotic normality  Jump diffusions  Least-squares estimator  Poisson processes  Partially observed system  
Regularized estimation for the least absolute relative error models with a diverging number of covariates Journal article
Computational Statistics and Data Analysis, 2016,Volume: 96,Page: 104-119
Authors:  Xia X.;  Liu Z.;  Yang H.
Favorite |  | TC[WOS]:4 TC[Scopus]:4 | Submit date:2019/02/14
Diverging Number Of Covariates  Least Absolute Relative Error  Least Squares Approximation  Oracle Properties  Variable Selection  
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 |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise