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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  
Jumps at ultra-high frequency: Evidence from the Chinese stock market Journal article
Pacific Basin Finance Journal, 2021,Volume: 68,Issue: 101420
Authors:  Zhang,Chuanhai;  Liu,Zhi;  Liu,Qiang
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2021/03/11
Jumps  Market Microstructure Noise  Pre-averaging  Truncated Bi-power Variation  Ultra High Frequency Data  
Estimating spot volatility in the presence of infinite variation jumps Journal article
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018,Volume: 128,Issue: 6,Page: 1958-1987
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi
Favorite |  | TC[WOS]:5 TC[Scopus]:6 | Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
Efficient estimation of spot volatility with presence of infinite variation jumps Journal article
Stochastic Processes and their Applications, 2018,Page: 1958-1987
Authors:  Liu, Q.;  Liu, Y.;  Liu, Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Semi-martingale  High frequency data  Spot volatility  Kernel estimate  Central limit theorem  
On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Communications in Statistics - Theory and Methods, 2013,Volume: 42,Issue: 21,Page: 3889-3901
Authors:  Jing,Bing Yi;  Li,Cui Xia;  Liu,Zhi
Favorite |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2021/03/11
Central limit theorem  Co-volatility  High-frequency data  Ito semi-martingale  Jumps  Microstructure noise  
On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Communications in Statistics - Theory and Methods, 2013,Volume: 42,Issue: 21,Page: 3889-3901
Authors:  Jing B.-Y.;  Li C.-X.;  Liu Z.
Favorite |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
On estimating the integrated co-volatility using noisy high frequency data with jumps Journal article
Communication in Statistics-Theory and Methods, 2013,Page: 3889-3901
Authors:  Jing, B. Y.;  Li, C. X.;  Liu, Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Ito semi-martingale  High frequency data  Microstructure noise  Covolatility  Jumps  Central limit theorem  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:  Wang K.;  Liu J.;  Liu Z.
Favorite |  | TC[WOS]:8 TC[Scopus]:11 | Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading  
Estimating the jump activity index under noisy observations using high frequency data Journal article
Journal of American Statistical Association, 2011,Page: 558-568
Authors:  Jing, B.Y.;  Kong, X.B.;  Liu, Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
Microstructure noise  Symmetric stable Levy process.