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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  
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  
Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions Journal article
Cheung,William, Fung,Scott, Tam,Lewis. Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions[J]. Quarterly Review of Economics and Finance, 2016, 60, 149-161.
Authors:  Cheung,William;  Fung,Scott;  Tam,Lewis
Favorite | TC[WOS]:4 TC[Scopus]:4 | Submit date：2019/08/01
Corporate Financing Decision  Market Liquidity  Market Microstructure  
A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation Journal article
Gan,Min, Chen,Long, Zhang,Chun Yang, Peng,Hui. A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation[J]. IEEE Access, 2016, 4, 8035-8043.
Authors:  Gan,Min;  Chen,Long;  Zhang,Chun Yang;  Peng,Hui
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:3.4/3.7 | Submit date：2021/03/09
Asset Allocation  Financial Markets  Market Microstructure Model  Monte Carlo Particle Filter  Self-organizing State Space Model  
A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation Journal article
Gan M., Chen L., Zhang C.-Y., Peng H.. A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation[J]. IEEE Access, 2016, 4, 8035-8043.
Authors:  Gan M.;  Chen L.;  Zhang C.-Y.;  Peng H.
Favorite | TC[WOS]:1 TC[Scopus]:2 | Submit date：2019/02/13
Asset Allocation  Financial Markets  Market Microstructure Model  Monte Carlo Particle Filter  Self-organizing State Space Model