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Non-integrable Stable Approximation by Stein’s Method Journal article
Journal of Theoretical Probability, 2022,Volume: 35,Issue: 2,Page: 1137-1186
Authors:  Chen, Peng;  Nourdin, Ivan;  Xu, Lihu;  Yang, Xiaochuan;  Zhang, Rui
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/05/13
Generalized central limit theorem  Stein’s method  α-stable approximation  
Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme Journal article
Bernoulli, 2022,Volume: 28,Issue: 2,Page: 937-964
Authors:  Lu, Jianya;  Tan, Yuzhen;  Xu, Lihu
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2022/05/13
Central limit theorem  Euler-Maruyama scheme  Self-normalized Cramér-type moderate deviation  Stein’s method  Stochastic differential equation  
Large Deviation Principles of Realized Laplace Transform of Volatility Journal article
Journal of Theoretical Probability, 2022,Volume: 35,Issue: 1,Page: 186-208
Authors:  Feng, Xinwei;  He, Lidan;  Liu, Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/03/28
High-frequency Data  Large Deviation  Moderate Deviation  Realized Laplace Transform Of Volatility  Semi-martingale  
Edgeworth corrections for spot volatility estimator Journal article
Statistics and Probability Letters, 2020,Volume: 164
Authors:  He,Lidan;  Liu,Qiang;  Liu,Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/11
Central Limit Theorem  Confidence Interval  Edgeworth Expansion  High Frequency Data  Spot Volatility  
Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT Journal article
Journal of Theoretical Probability, 2020,Volume: 34,Issue: 3,Page: 1382-1407
Authors:  Chen,Peng;  Nourdin,Ivan;  Xu,Lihu
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2021/03/11
Asymmetric Α-stable Distribution  Fractional Laplacian  Leave-one-out Approach  Normal Attraction  Stable Central Limit Theorem  Stein’s Method  
Approximation to stable law by the Lindeberg principle Journal article
Journal of Mathematical Analysis and Applications, 2019,Volume: 480,Issue: 2
Authors:  Chen,Peng;  Xu,Lihu
Favorite |  | TC[WOS]:5 TC[Scopus]:4 | Submit date:2021/03/11
A Kolmogorov forward equation  Asymmetric α-stable distribution  Stable central limit theorem  The Lindeberg principle  
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  
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  
A rank test for the number of factors with high-frequency data Journal article
Journal of Econometrics, 2019,Volume: 211,Issue: 2,Page: 439-460
Authors:  Kong,Xin Bing;  Liu,Zhi;  Zhou,Wang
Favorite |  | TC[WOS]:3 TC[Scopus]:3 | Submit date:2021/03/11
Continuous-time factor model  High-dimensional Itô process  Idiosyncratic process  
HIGH-DIMENSIONAL COVARIANCE MATRICES IN ELLIPTICAL DISTRIBUTIONS WITH APPLICATION TO SPHERICAL TEST Journal article
ANNALS OF STATISTICS, 2019,Volume: 47,Issue: 1,Page: 527-555
Authors:  Hu, Jiang;  Li, Weiming;  Liu, Zhi;  Zhou, Wang
Favorite |  | TC[WOS]:6 TC[Scopus]:6 | Submit date:2019/01/17
Covariance Matrix  High-dimensional Data  Elliptical Distribution  Sphericity Test