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Testing for the Presence of the Leverage Effect without Estimation Journal article
Liu, Zhi. Testing for the Presence of the Leverage Effect without Estimation[J]. Mathematics, 2022, 10(14), 2511.
Authors:  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.3/2.2 | Submit date：2023/01/30
High-frequency Data  Itô Semi-martingale  Leverage Effect  Test  
Large Deviation Principles of Realized Laplace Transform of Volatility Journal article
Feng, Xinwei, He, Lidan, Liu, Zhi. Large Deviation Principles of Realized Laplace Transform of Volatility[J]. Journal of Theoretical Probability, 2021, 35(1), 186-208.
Authors:  Feng, Xinwei;  He, Lidan;  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.8/0.7 | Submit date：2022/03/28
High-frequency Data  Large Deviation  Moderate Deviation  Realized Laplace Transform Of Volatility  Semi-martingale  
Large deviation principles of realized Laplace transform of volatility Journal article
Feng Xinwei, He Lianda, Liu Zhi. Large deviation principles of realized Laplace transform of volatility[J]. Journal of Theoretical Probability, 2021, 35(1), 186–208.
Authors:  Feng Xinwei;  He Lianda;  Liu Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.8/0.7 | Submit date：2022/07/27
High-frequency Data  Large Deviation  Moderate Deviation  Realized Laplace Transform Of Volatility  Semi-martingale  
Estimating spot volatility in the presence of infinite variation jumps Journal article
Liu, Qiang, Liu, Yiqi, Liu, Zhi. Estimating spot volatility in the presence of infinite variation jumps[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018, 128(6), 1958-1987.
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi
Favorite | TC[WOS]:11 TC[Scopus]:11  IF:1.1/1.4 | Submit date：2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
Efficient estimation of spot volatility with presence of infinite variation jumps Journal article
Liu, Q., Liu, Y., Liu, Z.. Efficient estimation of spot volatility with presence of infinite variation jumps[J]. Stochastic Processes and their Applications, 2018, 1958-1987.
Authors:  Liu, Q.;  Liu, Y.;  Liu, Z.
Favorite | TC[WOS]:11 TC[Scopus]:11  IF:1.1/1.4 | Submit date：2022/07/27
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
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  
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]. Communication in Statistics-Theory and Methods, 2013, 3889-3901.
Authors:  Jing, B. Y.;  Li, C. X.;  Liu, Z.
Favorite | TC[WOS]:5 TC[Scopus]:6  IF:0.6/0.8 | Submit date：2022/07/27
Ito Semi-martingale  High Frequency Data  Microstructure Noise  Covolatility  Jumps  Central Limit Theorem  
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