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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  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
Liu, Zhi. Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations[J]. FINANCE AND STOCHASTICS, 2017, 21(2), 427-469.
Authors:  Liu, Zhi
Favorite | TC[WOS]:4 TC[Scopus]:5  IF:1.1/1.7 | Submit date：2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence  
Testing for pure-jump processes for high frequency data Journal article
Kong, X.B., Liu, Z., Jing, B.Y.. Testing for pure-jump processes for high frequency data[J]. The Annals of Statistics, 2015, 847-877.
Authors:  Kong, X.B.;  Liu, Z.;  Jing, B.Y.
Favorite | TC[WOS]:39 TC[Scopus]:45  IF:3.2/4.8 | Submit date：2022/07/27
Ito Semimartingale  Pure-jump Process  Integrated Volatility  Realized Characteristic Function.  
Testing for pure-jump processes for high-frequency data Journal article
Kong X.-B., Liu Z., Jing B.-Y.. Testing for pure-jump processes for high-frequency data[J]. Annals of Statistics, 2015, 43(2), 847.
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite | TC[WOS]:39 TC[Scopus]:45 | Submit date：2018/10/30
Integrated Volatility  Itô Semimartingale  Pure-jump Process  Realized Characteristic Function