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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  
A linearized second-order finite difference scheme for time fractional generalized BBM equation Journal article
APPLIED MATHEMATICS LETTERS, 2018,Volume: 78,Page: 16-23
Authors:  Lyu, Pin;  Vong, Seakweng
Favorite |  | TC[WOS]:7 TC[Scopus]:8 | Submit date:2018/10/30
Fractional Bbm Equation  Linearized Scheme  Second-order Convergence  Unconditionally Stable  
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  
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 integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:3 | Submit date:2019/02/14
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu,Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:3 | Submit date:2021/03/11
Central limit theorem  Diffusion model  High frequency data  Multiple transactions  Stable convergence  
On the jump activity index for semimartingales Journal article
Journal of Econometrics, 2012,Volume: 166,Issue: 2,Page: 213-223
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.;  Mykland P.
Favorite |  | TC[WOS]:35 TC[Scopus]:38 | Submit date:2019/02/14
High Frequency  Jump Activity Index  Power Variation  Semimartingale  Stable Convergence