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Heteroscedasticity test of high-frequency data with jumps and market microstructure noise Journal article
Applied Stochastic Models in Business and Industry, 2022
Authors:  Liu, Qiang;  Liu, Zhi;  Zhang, Chuanhai
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/05/17
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  
"Efficient estimation of spot volatility under general jump process" Project
项目类型: FDCT, 项目编号: 127/2016/A3, 2018-
Authors:  SENGFONG
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/02/16
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  
Estimation of spot volatility with superposed noisy data Journal article
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018,Volume: 44,Page: 62-79
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi;  Wang, Li
Favorite |  | TC[WOS]:3 TC[Scopus]:2 | Submit date:2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem