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Near-Optimal Decoding of Incremental Delta-Sigma ADC Output Journal article
IEEE Transactions on Circuits and Systems I: Regular Papers, 2020,Volume: 67,Issue: 11,Page: 3670-3680
Authors:  Wang,Bo;  Law,Man Kay;  Belhaouari,Samir Brahim;  Bermak,Amine
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2021/03/11
decimation filter  delta-sigma modulator  IDC  incremental ADC  noise penalty factor  optimal filter  Reconstruction filter  thermal noise averaging  
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]:0 | 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:2020/05/22
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  
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