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Correcting spot power variation estimator via Edgeworth expansion Journal article
He, Lidan, Liu, Qiang, Liu, Zhi, Bucci, Andrea. Correcting spot power variation estimator via Edgeworth expansion[J]. Metrika, 2024, 87(8), 921–945.
Authors:  He, Lidan;  Liu, Qiang;  Liu, Zhi;  Bucci, Andrea
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.9/1.0 | Submit date：2024/02/22
Confidence Interval  Edgeworth Expansion  High-frequency Data  Spot Volatility  
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  
Edgeworth corrections for spot volatility estimator Journal article
He,Lidan, Liu,Qiang, Liu,Zhi. Edgeworth corrections for spot volatility estimator[J]. Statistics and Probability Letters, 2020, 164.
Authors:  He,Lidan;  Liu,Qiang;  Liu,Zhi
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.9/0.8 | Submit date：2021/03/11
Central Limit Theorem  Confidence Interval  Edgeworth Expansion  High Frequency Data  Spot Volatility  
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  
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