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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  
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]:3 TC[Scopus]:5 | Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
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,Bing Yi;  Li,Cui Xia;  Liu,Zhi
Favorite |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2021/03/11
Central limit theorem  Co-volatility  High-frequency data  Ito semi-martingale  Jumps  Microstructure noise  
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  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:  Wang K.;  Liu J.;  Liu Z.
Favorite |  | TC[WOS]:8 TC[Scopus]:10 | Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading