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Non-integrable Stable Approximation by Stein’s Method Journal article
Journal of Theoretical Probability, 2022,Volume: 35,Issue: 2,Page: 1137-1186
Authors:  Chen, Peng;  Nourdin, Ivan;  Xu, Lihu;  Yang, Xiaochuan;  Zhang, Rui
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date：2022/05/13
Generalized Central Limit Theorem  Stein’s Method  Α-stable Approximation  
Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme Journal article
Bernoulli, 2022,Volume: 28,Issue: 2,Page: 937-964
Authors:  Lu, Jianya;  Tan, Yuzhen;  Xu, Lihu
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Central Limit Theorem  Euler-maruyama Scheme  Self-normalized Cramér-type Moderate Deviation  Stein’s Method  Stochastic Differential Equation  
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  
Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT Journal article
Journal of Theoretical Probability, 2020,Volume: 34,Issue: 3,Page: 1382-1407
Authors:  Chen,Peng;  Nourdin,Ivan;  Xu,Lihu
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Asymmetric Α-stable Distribution  Fractional Laplacian  Leave-one-out Approach  Normal Attraction  Stable Central Limit Theorem  Stein’s Method  
Approximation to stable law by the Lindeberg principle Journal article
Journal of Mathematical Analysis and Applications, 2019,Volume: 480,Issue: 2
Authors:  Chen，Peng;  Xu，Lihu
Favorite |  | TC[WOS]:5 TC[Scopus]:4 | Submit date：2021/03/11
A Kolmogorov forward equation  Asymmetric α-stable distribution  Stable central limit theorem  The Lindeberg principle  
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  
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  
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  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:3 | Submit date：2019/02/14
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence