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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
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