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Jumps at ultra-high frequency: Evidence from the Chinese stock market Journal article
Pacific Basin Finance Journal, 2020
Authors:  Zhang,Chuanhai;  Liu,Zhi;  Liu,Qiang
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2021/03/11
Jumps  Market microstructure noise  Pre-averaging  Truncated bi-power variation  Ultra high frequency data  
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  
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 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  
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  
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]:5 TC[Scopus]:6 | 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 |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
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