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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  
Statistical Inference for spot correlation and spot market Beta under infinite variation jumps Journal article
Journal of Financial Econometrics, 2020,Page: 1-30
Authors:  Liu, Q.;  Liu, Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/27
High frequency data  
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  
Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2019
Authors:  Yuta Koike;  Zhi Liu
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
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  
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018,Volume: 7,Issue: 3
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise