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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  
Large deviation principles of realized Laplace transform of volatility Journal article
Journal of Theoretical Probability, 2022,Volume: 35,Page: 186–208
Authors:  Feng Xinwei;  He Lianda;  Liu Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise Journal article
Soft Computing, 2019
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, 2019
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  
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  
Joint Laplace Transform of Volatility Matrix Project
项目编号: MYRG2018-00107-FST, 2019-
Authors:  LIUZHI
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/02/16
Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise Journal article
SOFT COMPUTING, 2018,Volume: 23,Issue: 14,Page: 5739-5752
Authors:  Li Wang;  Zhi Liu;  · Xiaochao Xi
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2020/06/03
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes