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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  
Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT Journal article
Journal of Theoretical Probability, 2020
Authors:  Chen,Peng;  Nourdin,Ivan;  Xu,Lihu
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2021/03/11
Asymmetric α-stable distribution  Fractional Laplacian  Leave-one-out approach  Normal attraction  Stable central limit theorem  Stein’s method  
Approximation to stable law by the Lindeberg principle Journal article
Journal of Mathematical Analysis and Applications, 2019,Volume: 480,Issue: 2
Authors:  Chen,Peng;  Xu,Lihu
Favorite |  | TC[WOS]:3 TC[Scopus]:3 | Submit date:2021/03/11
A Kolmogorov forward equation  Asymmetric α-stable distribution  Stable central limit theorem  The Lindeberg principle  
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 |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2020/06/03
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 |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
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  
High-dimensional covariance matrices in elliptical distributions with application to spherical test Journal article
Annals of Statistics, 2019,Volume: 47,Issue: 1,Page: 527-555
Authors:  Hu J.;  Li W.;  Liu Z.;  Zhou W.
Favorite |  | TC[WOS]:3 TC[Scopus]:4 | Submit date:2019/02/14
Covariance matrix  Elliptical distribution  High-dimensional data  Sphericity test  
HIGH-DIMENSIONAL COVARIANCE MATRICES IN ELLIPTICAL DISTRIBUTIONS WITH APPLICATION TO SPHERICAL TEST Journal article
ANNALS OF STATISTICS, 2019,Volume: 47,Issue: 1,Page: 527-555
Authors:  Hu, Jiang;  Li, Weiming;  Liu, Zhi;  Zhou, Wang
Favorite |  | TC[WOS]:3 TC[Scopus]:4 | Submit date:2019/01/17
Covariance Matrix  High-dimensional Data  Elliptical Distribution  Sphericity Test  
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]:3 | 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 |  | TC[WOS]:4 TC[Scopus]:4 | Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem