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On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Jing,Bing Yi, Li,Cui Xia, Liu,Zhi. On estimating the integrated co-volatility using noisy high-frequency data with jumps[J]. Communications in Statistics - Theory and Methods, 2013, 42(21), 3889-3901.
Authors:  Jing,Bing Yi;  Li,Cui Xia;  Liu,Zhi
Favorite | TC[WOS]:5 TC[Scopus]:6  IF:0.6/0.8 | Submit date：2021/03/11
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Jing B.-Y., Li C.-X., Liu Z.. On estimating the integrated co-volatility using noisy high-frequency data with jumps[J]. Communications in Statistics - Theory and Methods, 2013, 42(21), 3889-3901.
Authors:  Jing B.-Y.;  Li C.-X.;  Liu Z.
Favorite | TC[WOS]:5 TC[Scopus]:6 | Submit date：2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Kent Wang, Junwei Liu, Zhi Liu. Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility[J]. Journal of Banking and Finance, 2013, 37(5), 1777-1786.
Authors:  Kent Wang;  Junwei Liu;  Zhi Liu
Favorite | TC[WOS]:10 TC[Scopus]:13  IF:3.6/4.4 | Submit date：2019/02/14
Itô Semi-martingale  High-frequency Finance  Co-volatility  Non-synchronous Trading  Idiosyncratic Jumps  Co-jump  Microstructure Noise