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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise Journal article
Liu, Qiang, Liu, Zhi. Estimating spot volatility under infinite variation jumps with dependent market microstructure noise[J]. Econometrics Journal, 2024, 27(2), 278-298.
Authors:  Liu, Qiang;  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.9/4.8 | Submit date：2024/07/04
Dependent Market Microstructure Noise  Empirical Characteristic Function  High-frequency Data  Jump Activity  Jumps  Kernel Smoothing  Pre-averaging  Spot Volatility  
Cluster number selection for a small set of samples using the Bayesian Ying-Yang model Journal article
Guo P., Chen C.L.P., Lyu M.R.. Cluster number selection for a small set of samples using the Bayesian Ying-Yang model[J]. IEEE Transactions on Neural Networks, 2002, 13(3), 757-763.
Authors:  Guo P.;  Chen C.L.P.;  Lyu M.R.
Favorite | TC[WOS]:61 TC[Scopus]:65 | Submit date：2019/02/11
Bootstrap  Cluster Number Selection  Data Smoothing  Sem Algorithm  Small Number Sample Set  Smoothing Parameter Estimation