English | 繁體

Search in the results

UM

Browse/Search Results:  1-3 of 3 Help

Selected(0)Clear Items/Page:    Sort:
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  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Liu,Zhi. Estimating integrated co-volatility with partially miss-ordered high frequency data[J]. Statistical Inference for Stochastic Processes, 2016, 19(2), 175-197.
Authors:  Liu,Zhi
Favorite | TC[Scopus]:4  IF:0.7/0.8 | Submit date：2021/03/11
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Liu Z.. Estimating integrated co-volatility with partially miss-ordered high frequency data[J]. Statistical Inference for Stochastic Processes, 2016, 19(2), 175-197.
Authors:  Liu Z.
Favorite | TC[Scopus]:4 | Submit date：2019/02/14
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence