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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  
On the jump activity index for semimartingales Journal article
Jing B.-Y., Kong X.-B., Liu Z., Mykland P.. On the jump activity index for semimartingales[J]. Journal of Econometrics, 2012, 166(2), 213-223.
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.;  Mykland P.
Favorite | TC[WOS]:48 TC[Scopus]:52 | Submit date：2019/02/14
High Frequency  Jump Activity Index  Power Variation  Semimartingale  Stable Convergence