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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  
Jumps at ultra-high frequency: Evidence from the Chinese stock market Journal article
Chuanhai Zhang, Zhi Liu, Qiang Liu. Jumps at ultra-high frequency: Evidence from the Chinese stock market[J]. Pacific Basin Finance Journal, 2021, 68, 101420.
Authors:  Chuanhai Zhang;  Zhi Liu;  Qiang Liu
Favorite | TC[WOS]:2 TC[Scopus]:3  IF:4.8/4.4 | Submit date：2021/03/11
Jumps  Market Microstructure Noise  Pre-averaging  Truncated Bi-power Variation  Ultra High Frequency Data  
Asymptotic properties of the realized skewness and related statistics Journal article
Yuta Koike, Zhi Liu. Asymptotic properties of the realized skewness and related statistics[J]. Annals of the Institute of Statistical Mathematics, 2019.
Authors:  Yuta Koike;  Zhi Liu
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:0.8/1.0 | Submit date：2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise[J]. Soft Computing, 2019.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:3.1/3.2 | Submit date：2019/06/10
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
Realized Laplace Transform of Volatility with Microstructure Noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Realized Laplace Transform of Volatility with Microstructure Noise[J]. Scandinavian Journal of Statistics, 2019.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite |  | Submit date：2019/06/10
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Rate efficient estimation of realized Laplace transform of volatility with microstructure noise[J]. SCANDINAVIAN JOURNAL OF STATISTICS, 2019, 46(3), 920-953.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:0.8/1.1 | Submit date：2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Rate efficient estimation of realized Laplace transform of volatility with microstructure noise[J]. SCANDINAVIAN JOURNAL OF STATISTICS, 2019, 46(3), 920-953.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:0.8/1.1 | Submit date：2020/06/03
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
Liu, Zhi, Xia, Xiaochao, Zhou, Guoliang. Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data[J]. RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 7(3).
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.9/0.9 | Submit date：2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise  
Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise Journal article
Li Wang, Zhi Liu, · Xiaochao Xi. Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise[J]. SOFT COMPUTING, 2018, 23(14), 5739-5752.
Authors:  Li Wang;  Zhi Liu;  · Xiaochao Xi
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:3.1/3.2 | Submit date：2020/06/03
High-frequency Data  Laplace Transform  Microstructure Noise  Pure Jump Processes  
Estimating the integrated volatility using high-frequency data with zero durations Journal article
Liu, Zhi, Kong, Xin-Bing, Jing, Bing-Yi. Estimating the integrated volatility using high-frequency data with zero durations[J]. JOURNAL OF ECONOMETRICS, 2018, 204(1), 18-32.
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite | TC[WOS]:8 TC[Scopus]:9  IF:9.9/6.7 | Submit date：2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem