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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：2020/06/03
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  
Balanced augmented empirical likelihood for regression models Journal article
Xia,Xiaochao, Liu,Zhi. Balanced augmented empirical likelihood for regression models[J]. Journal of the Korean Statistical Society, 2019, 48(2), 233-247.
Authors:  Xia,Xiaochao;  Liu,Zhi
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:0.6/0.7 | Submit date：2021/03/11
Asymptotic Properties  Balanced Augmented Sample  Convex Hull Constraint  Empirical Likelihood  Regression Models  
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  
A test for equality of two distributions via jackknife empirical likelihood and characteristic functions Journal article
Liu,Zhi, Xia,Xiaochao, Zhou,Wang. A test for equality of two distributions via jackknife empirical likelihood and characteristic functions[J]. Computational Statistics and Data Analysis, 2015, 92, 97-114.
Authors:  Liu,Zhi;  Xia,Xiaochao;  Zhou,Wang
Favorite | TC[WOS]:14 TC[Scopus]:15  IF:1.5/1.7 | Submit date：2021/03/11
Characteristic Function  Equality Of Distributions  Jackknife Empirical Likelihood  Normal Limit  Two-sample Test