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Testing for pure-jump processes for high frequency data Journal article
Kong, X.B., Liu, Z., Jing, B.Y.. Testing for pure-jump processes for high frequency data[J]. The Annals of Statistics, 2015, 847-877.
Authors:  Kong, X.B.;  Liu, Z.;  Jing, B.Y.
Favorite | TC[WOS]:39 TC[Scopus]:45  IF:3.2/4.8 | Submit date：2022/07/27
Ito Semimartingale  Pure-jump Process  Integrated Volatility  Realized Characteristic Function.  
Evaluating the hedging error in price processes with jumps present Journal article
Jing B.Y., Kong X.B., Liu Z., Zhang B.. Evaluating the hedging error in price processes with jumps present[J]. Statistics and its Interface, 2013, 6(4), 413-425.
Authors:  Jing B.Y.;  Kong X.B.;  Liu Z.;  Zhang B.
Favorite | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/02/14
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Modeling high frequency financial data by pure jump processes Journal article
Jing, B.Y., Kong, X.B., Liu, Z.. Modeling high frequency financial data by pure jump processes[J]. Annals of Statistics, 2012, 759-784.
Authors:  Jing, B.Y.;  Kong, X.B.;  Liu, Z.
Favorite | TC[WOS]:49 TC[Scopus]:55  IF:3.2/4.8 | Submit date：2022/07/27
Diffusion  Pure Jump Process  Semi-martingales  High-frequency Data  Hypothesis Testing  
Estimating the jump activity index under noisy observations using high frequency data Journal article
Jing, B.Y., Kong, X.B., Liu, Z.. Estimating the jump activity index under noisy observations using high frequency data[J]. Journal of American Statistical Association, 2011, 558-568.
Authors:  Jing, B.Y.;  Kong, X.B.;  Liu, Z.
Favorite | TC[WOS]:19 TC[Scopus]:20  IF:3.0/4.9 | Submit date：2022/07/27
Microstructure Noise  Symmetric Stable Levy Process.