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Estimating the integrated volatility using high-frequency data with zero durations Journal article
Liu, Zhi, Kong, Xin-Bing, Jing, Bing-Yi. Estimating the integrated volatility using high-frequency data with zero durations[J]. JOURNAL OF ECONOMETRICS, 2018, 204(1), 18-32.
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite | TC[WOS]:8 TC[Scopus]:9  IF:9.9/6.7 | Submit date：2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
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.  
On integrated volatility of Itô semimartingales when sampling times are endogenous Journal article
Li C.-X., Chen J.-Y., Liu Z., Jing B.-Y.. On integrated volatility of Itô semimartingales when sampling times are endogenous[J]. Communications in Statistics - Theory and Methods, 2014, 43(24), 5263-5275.
Authors:  Li C.-X.;  Chen J.-Y.;  Liu Z.;  Jing B.-Y.
Favorite | TC[WOS]:2 TC[Scopus]:2 | Submit date：2019/02/14
Central Limit Theorem  Endogeneity  High Frequency Data  Ito  Jumps  Semimartingale  
On integrated volatility of Itô semimartingales when sampling times are endogenous Journal article
Li,Cui Xia, Chen,Jin Yuan, Liu,Zhi, Jing,Bing Yi. On integrated volatility of Itô semimartingales when sampling times are endogenous[J]. Communications in Statistics - Theory and Methods, 2014, 43(24), 5263-5275.
Authors:  Li,Cui Xia;  Chen,Jin Yuan;  Liu,Zhi;  Jing,Bing Yi
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.6/0.8 | Submit date：2021/03/11
Central Limit Theorem  Endogeneity  High Frequency Data  Ito  Jumps  Semimartingale  
On integrated volatility of Ito semimartingales when sampling times are endogenous Journal article
Li, C. X., Chen, J. Y., Liu, Z., Jing, B. Y.. On integrated volatility of Ito semimartingales when sampling times are endogenous[J]. Communications in Statistics–Theory and Methods, 2014, 5263-5275.
Authors:  Li, C. X.;  Chen, J. Y.;  Liu, Z.;  Jing, B. Y.
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.6/0.8 | Submit date：2022/07/27
Ito Semimartingale  High Frequency Data  Central Limit Theorem  Jumps  Endogeneity