UM

Browse/Search Results:  1-7 of 7 Help

Selected(0)Clear Items/Page:    Sort:
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  
Balanced augmented empirical likelihood for regression models Journal article
Journal of the Korean Statistical Society, 2019,Volume: 48,Issue: 2,Page: 233-247
Authors:  Xia,Xiaochao;  Liu,Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/11
Asymptotic properties  Balanced augmented sample  Convex hull constraint  Empirical likelihood  Regression models  
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 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  
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  
A test for equality of two distributions via jackknife empirical likelihood and characteristic functions Journal article
Computational Statistics and Data Analysis, 2015,Volume: 92,Page: 97-114
Authors:  Liu,Zhi;  Xia,Xiaochao;  Zhou,Wang
Favorite |  | TC[WOS]:7 TC[Scopus]:7 | Submit date:2021/03/11
Characteristic function  Equality of distributions  Jackknife empirical likelihood  Normal limit  Two-sample test