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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  
Bootstrapping Laplace transforms of volatility Journal article
Hounyo, Ulrich, Liu, Zhi, Varneskov, Rasmus T.. Bootstrapping Laplace transforms of volatility[J]. Quantitative Economics, 2023, 14(3), 1059-1103.
Authors:  Hounyo, Ulrich;  Liu, Zhi;  Varneskov, Rasmus T.
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:1.9/2.4 | Submit date：2023/09/25
Bootstrap  C14  C15  Edgeworth Expansions  G1  High-frequency Data  Higher-order Refinements  Itô Semimartingales  Realized Laplace Transform  Spot Measure Inference  
Stock co-jump networks Journal article
Yi Ding, Yingying Li, Guoli Liu, Xinghua Zheng. Stock co-jump networks[J]. Journal of Econometrics, 2023, 239(2), 105420.
Authors:  Yi Ding;  Yingying Li;  Guoli Liu;  Xinghua Zheng
Favorite | TC[WOS]:6 TC[Scopus]:7  IF:9.9/6.7 | Submit date：2023/08/03
Co-jumps  Community Detection  High-frequency Data  Jumps  Network  Stock Dependence  
Statistical Inference for spot correlation and spot market Beta under infinite variation jumps Journal article
Liu, Q., Liu, Z.. Statistical Inference for spot correlation and spot market Beta under infinite variation jumps[J]. Journal of Financial Econometrics, 2022, 20(4), 612-654.
Authors:  Liu, Q.;  Liu, Z.
Favorite | TC[WOS]:1 TC[Scopus]:1 | Submit date：2022/07/27
Semimartingale  High Frequency Data  Infinite Variation Jump  Spot Covariance  Spot Correlation  Spot Market Beta  Central Limit Theorem  
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  
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  
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  
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