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Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2019
Authors:  Yuta Koike;  Zhi Liu
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
Estimating the integrated volatility using high-frequency data with zero durations Journal article
JOURNAL OF ECONOMETRICS, 2018,Volume: 204,Issue: 1,Page: 18-32
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite |  | TC[WOS]:6 TC[Scopus]:7 | Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
Testing for pure-jump processes for high frequency data Journal article
The Annals of Statistics, 2015,Page: 847-877
Authors:  Kong, X.B.;  Liu, Z.;  Jing, B.Y.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Ito semimartingale  pure-jump process  integrated volatility  realized characteristic function.  
Testing for pure-jump processes for high-frequency data Journal article
Annals of Statistics, 2015,Volume: 43,Issue: 2,Page: 847
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite |  | TC[WOS]:33 TC[Scopus]:40 | Submit date:2018/10/30
Integrated volatility  Itô semimartingale  Pure-jump process  Realized characteristic function  
On integrated volatility of Itô semimartingales when sampling times are endogenous Journal article
Communications in Statistics - Theory and Methods, 2014,Volume: 43,Issue: 24,Page: 5263-5275
Authors:  Li C.-X.;  Chen J.-Y.;  Liu Z.;  Jing B.-Y.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/14
Central Limit Theorem  Endogeneity  High Frequency Data  Ito  Jumps  Semimartingale  
On integrated volatility of Itô semimartingales when sampling times are endogenous Journal article
Communications in Statistics - Theory and Methods, 2014,Volume: 43,Issue: 24,Page: 5263-5275
Authors:  Li,Cui Xia;  Chen,Jin Yuan;  Liu,Zhi;  Jing,Bing Yi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/11
Central limit theorem  Endogeneity  High frequency data  Ito  jumps  semimartingale  
On integrated volatility of Ito semimartingales when sampling times are endogenous Journal article
Communications in Statistics–Theory and Methods, 2014,Page: 5263-5275
Authors:  Li, C. X.;  Chen, J. Y.;  Liu, Z.;  Jing, B. Y.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Ito semimartingale  high frequency data  central limit theorem  jumps  endogeneity  
On the Estimation of Integrated Volatility With Jumps and Microstructure Noise Journal article
Journal of Business and Economic Statistics, 2014,Volume: 32,Issue: 3,Page: 457-467
Authors:  Jing B.-Y.;  Liu Z.;  Kong X.-B.
Favorite |  | TC[WOS]:30 TC[Scopus]:33 | Submit date:2019/02/14
Central Limit Theorem  High Frequency Data  Quadratic Variation  Semimartingale