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| 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 |
| 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 |
| 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 | | TC[WOS]:1 TC[Scopus]:1 | Submit date：2018/10/30
High-frequency Data Volatility Estimation Microstructure Noise |
| 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 |
| 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 |
| Realized Laplace Transform of Volatility with Microstructure Noise Journal article
Scandinavian Journal of Statistics, 2018
Authors: Li Wang; Zhi Liu; Xiaochao Xia
Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/06/10
High-frequency Data Stable Convergence Laplace Transform Of Volatility Microstructure Noise Pre-averaging |
| 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 | | TC[WOS]:0 TC[Scopus]:1 | Submit date：2019/05/22
High-frequency Data Integrated Volatility Limit Order Books Microstructure Noise Multiple Records |
| 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 |
| ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS Journal article
ECONOMETRIC THEORY, 2017,Volume: 33,Issue: 2,Page: 331-365
Authors: Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing
Favorite | | TC[WOS]:4 TC[Scopus]:6 | Submit date：2018/10/30 |
