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Correcting spot power variation estimator via Edgeworth expansion Journal article
He, Lidan, Liu, Qiang, Liu, Zhi, Bucci, Andrea. Correcting spot power variation estimator via Edgeworth expansion[J]. Metrika, 2024, 87(8), 921–945.
Authors:  He, Lidan;  Liu, Qiang;  Liu, Zhi;  Bucci, Andrea
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.9/1.0 | Submit date：2024/02/22
Confidence Interval  Edgeworth Expansion  High-frequency Data  Spot Volatility  
Spatial-Temporal Wind Power Probabilistic Forecasting Based on Time-Aware Graph Convolutional Network Journal article
Tang, Jingwei, Liu, Zhi, Hu, Jianming. Spatial-Temporal Wind Power Probabilistic Forecasting Based on Time-Aware Graph Convolutional Network[J]. IEEE Transactions on Sustainable Energy, 2024, 15(3), 1946-1956.
Authors:  Tang, Jingwei;  Liu, Zhi;  Hu, Jianming
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:8.6/8.6 | Submit date：2024/05/16
Time Zigzag  Flexible Convolution  Graph Convolutional Network  Heavy-tail Quantile Function  
On Bivariate Time-Varying Price Staleness Journal article
ZHU Haibin, LIU Zhi. On Bivariate Time-Varying Price Staleness[J]. Journal of Business and Economic Statistics, 2024, 42(1), 229-242.
Authors:  ZHU Haibin;  LIU Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.9/4.8 | Submit date：2023/08/03
Joint Price Staleness  Market Liquidity  Price Staleness  Stable Convergence  
Estimating the spot volatility under infinite variation jumps with microstructure noise Journal article
LIU Qiang, LIU ZHI. Estimating the spot volatility under infinite variation jumps with microstructure noise[J]. The Econometrics Journal, 2024.
Authors:  LIU Qiang;  LIU ZHI
Favorite |  | Submit date：2024/08/15
A novel time series probabilistic prediction approach based on the monotone quantile regression neural network Journal article
Hu, Jianming, Tang, Jingwei, Liu, Zhi. A novel time series probabilistic prediction approach based on the monotone quantile regression neural network[J]. Information Sciences, 2024, 654, 119844.
Authors:  Hu, Jianming;  Tang, Jingwei;  Liu, Zhi
Favorite | TC[WOS]:5 TC[Scopus]:6  IF:0/0 | Submit date：2024/02/22
Heavy-tail Distribution  Monotonicity  Neural Networks  Quantile Regression  
Combining dimensionality reduction methods with neural networks for realized volatility forecasting Journal article
Andrea Bucci, HE Lidan, Liu Z(劉志). Combining dimensionality reduction methods with neural networks for realized volatility forecasting[J]. Annals of Operations Research, 2023.
Authors:  Andrea Bucci;  HE Lidan;  Liu Z(劉志)
Favorite | TC[WOS]:7 TC[Scopus]:5  IF:4.4/4.4 | Submit date：2023/08/15
Realized Volatility  Artificial Neural Network  Machine-learning  Pca Method  Bayesian Model Averaging  
Forecasting realized volatility with machine learning: Panel data perspective Journal article
Zhu, Haibin, Bai, Lu, He, Lidan, Liu, Zhi. Forecasting realized volatility with machine learning: Panel data perspective[J]. Journal of Empirical Finance, 2023, 73, 251-271.
Authors:  Zhu, Haibin;  Bai, Lu;  He, Lidan;  Liu, Zhi
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:2.1/3.0 | Submit date：2023/09/12
Forecasting  Machine Learning  Panel Data Analysis  Realized Volatility  
Bootstrapping Realized Laplace Transform of Volatility Journal article
Ulrich Hounyo, Zhi Liu, Rasmus Tangsgaard Varneskov. Bootstrapping Realized Laplace Transform of Volatility[J]. Quantitative Economics, 2023, 14(3), 1059-1103.
Authors:  Ulrich Hounyo;  Zhi Liu;  Rasmus Tangsgaard Varneskov
Favorite |   IF:1.9/2.4 | Submit date：2023/08/15
Bootstrapping Laplace transforms of volatility Journal article
Hounyo, Ulrich, Liu, Zhi, Varneskov, Rasmus T.. Bootstrapping Laplace transforms of volatility[J]. Quantitative Economics, 2023, 14(3), 1059-1103.
Authors:  Hounyo, Ulrich;  Liu, Zhi;  Varneskov, Rasmus T.
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:1.9/2.4 | Submit date：2023/09/25
Bootstrap  C14  C15  Edgeworth Expansions  G1  High-frequency Data  Higher-order Refinements  Itô Semimartingales  Realized Laplace Transform  Spot Measure Inference  
A novel transformer ordinal regression network with label diversity for wind power ramp events forecasting Journal article
Hu,Jianming, Zhang,Liping, Tang,Jingwei, Liu,Zhi. A novel transformer ordinal regression network with label diversity for wind power ramp events forecasting[J]. Energy, 2023, 280, 128075.
Authors:  Hu,Jianming;  Zhang,Liping;  Tang,Jingwei;  Liu,Zhi
Favorite | TC[WOS]:3 TC[Scopus]:5  IF:9.0/8.2 | Submit date：2023/08/03
Informer Architecture  Ordinal Regression With Label Diversity  Probsparse Self-attention  Wind Power Ramp Events