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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
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TC[Scopus]:
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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
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TC[WOS]:
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TC[Scopus]:
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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
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TC[WOS]:
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TC[Scopus]:
0
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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
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TC[WOS]:
5
TC[Scopus]:
6
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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.
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TC[WOS]:
0
TC[Scopus]:
0
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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
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TC[WOS]:
3
TC[Scopus]:
2
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Submit date：2018/10/30
High Frequency Financial Data
Spot Volatility
Range-based Estimation
Kernel Estimate
Multiple Records
Microstructure Noise
Central Limit Theorem
