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Estimation of spot volatility with superposed noisy data Journal article
Liu, Qiang, Liu, Yiqi, Liu, Zhi, Wang, Li. Estimation of spot volatility with superposed noisy data[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 44, 62-79.
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi;  Wang, Li
Favorite | TC[WOS]:4 TC[Scopus]:3  IF:3.8/3.4 | Submit date：2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
Determining the integrated volatility via limit order kooks with multiple records Journal article
Liu, Y.-Q., Liu, Q., Liu, Z., Ding, D.. Determining the integrated volatility via limit order kooks with multiple records[J]. Quantitative Finance, 2017, 1697-1714.
Authors:  Liu, Y.-Q.;  Liu, Q.;  Liu, Z.;  Ding, D.
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:1.5/2.2 | Submit date：2022/07/27
High Frequency Data  Limite Order Books  Microstrucure Noise  Integrated Volatility  Multiple Records  
Determining the integrated volatility via limit order books with multiple records Journal article
YIQI LIU, QIANG LIU, ZHI LIU, DENG DING. Determining the integrated volatility via limit order books with multiple records[J]. QUANTITATIVE FINANCE, 2017, 17(11), 1697-1714.
Authors:  YIQI LIU;  QIANG LIU;  ZHI LIU;  DENG DING
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:1.5/2.2 | Submit date：2019/05/22
High-frequency Data  Integrated Volatility  Limit Order Books  Microstructure Noise  Multiple Records