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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  
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  
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  
Asymptotic properties of the realized skewness and related statistics Journal article
Yuta Koike, Zhi Liu. Asymptotic properties of the realized skewness and related statistics[J]. Annals of the Institute of Statistical Mathematics, 2019.
Authors:  Yuta Koike;  Zhi Liu
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:0.8/1.0 | Submit date：2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
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  
On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Jing,Bing Yi, Li,Cui Xia, Liu,Zhi. On estimating the integrated co-volatility using noisy high-frequency data with jumps[J]. Communications in Statistics - Theory and Methods, 2013, 42(21), 3889-3901.
Authors:  Jing,Bing Yi;  Li,Cui Xia;  Liu,Zhi
Favorite | TC[WOS]:5 TC[Scopus]:6  IF:0.6/0.8 | Submit date：2021/03/11
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
On estimating the integrated co-volatility using noisy high-frequency data with jumps Journal article
Jing B.-Y., Li C.-X., Liu Z.. On estimating the integrated co-volatility using noisy high-frequency data with jumps[J]. Communications in Statistics - Theory and Methods, 2013, 42(21), 3889-3901.
Authors:  Jing B.-Y.;  Li C.-X.;  Liu Z.
Favorite | TC[WOS]:5 TC[Scopus]:6 | Submit date：2019/02/14
Central Limit Theorem  Co-volatility  High-frequency Data  Ito Semi-martingale  Jumps  Microstructure Noise  
On estimating the integrated co-volatility using noisy high frequency data with jumps Journal article
Jing, B. Y., Li, C. X., Liu, Z.. On estimating the integrated co-volatility using noisy high frequency data with jumps[J]. Communication in Statistics-Theory and Methods, 2013, 3889-3901.
Authors:  Jing, B. Y.;  Li, C. X.;  Liu, Z.
Favorite | TC[WOS]:5 TC[Scopus]:6  IF:0.6/0.8 | Submit date：2022/07/27
Ito Semi-martingale  High Frequency Data  Microstructure Noise  Covolatility  Jumps  Central Limit Theorem