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Testing for pure-jump processes for high-frequency data Journal article
Annals of Statistics, 2015,Volume: 43,Issue: 2,Page: 847
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite |  | TC[WOS]:27 TC[Scopus]:34 | Submit date:2018/10/30
Integrated volatility  Itô semimartingale  Pure-jump process  Realized characteristic function  
Evaluating the hedging error in price processes with jumps present Journal article
Statistics and its Interface, 2013,Volume: 6,Issue: 4,Page: 413-425
Authors:  Jing B.Y.;  Kong X.B.;  Liu Z.;  Zhang B.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/14
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Modeling high-frequency financial data by pure jump processes Journal article
Annals of Statistics, 2012,Volume: 40,Issue: 2,Page: 759-784
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.
Favorite |  | TC[WOS]:40 TC[Scopus]:44 | Submit date:2019/02/14
Diffusion  High-frequency Data  Hypothesis Testing  Pure Jump Process  Semi-martingales