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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
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TC[WOS]:
0
TC[Scopus]:
0
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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
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TC[WOS]:
0
TC[Scopus]:
1
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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
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TC[WOS]:
0
TC[Scopus]:
0
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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
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TC[WOS]:
0
TC[Scopus]:
0
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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
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TC[WOS]:
1
TC[Scopus]:
1
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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
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TC[WOS]:
5
TC[Scopus]:
4
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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
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TC[WOS]:
2
TC[Scopus]:
2
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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
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TC[WOS]:
2
TC[Scopus]:
2
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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
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TC[WOS]:
3
TC[Scopus]:
3
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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
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TC[WOS]:
6
TC[Scopus]:
6
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Submit date:2019/01/17
Covariance Matrix
High-dimensional Data
Elliptical Distribution
Sphericity Test