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Bootstrapping Laplace transforms of volatility Journal article
Hounyo, Ulrich, Liu, Zhi, Varneskov, Rasmus T.. Bootstrapping Laplace transforms of volatility[J]. Quantitative Economics, 2023, 14(3), 1059-1103.
Authors:  Hounyo, Ulrich;  Liu, Zhi;  Varneskov, Rasmus T.
Favorite | TC[WOS]:1 TC[Scopus]:2  IF:1.9/2.4 | Submit date：2023/09/25
Bootstrap  C14  C15  Edgeworth Expansions  G1  High-frequency Data  Higher-order Refinements  Itô Semimartingales  Realized Laplace Transform  Spot Measure Inference  
Large Deviation Principles of Realized Laplace Transform of Volatility Journal article
Feng, Xinwei, He, Lidan, Liu, Zhi. Large Deviation Principles of Realized Laplace Transform of Volatility[J]. Journal of Theoretical Probability, 2021, 35(1), 186-208.
Authors:  Feng, Xinwei;  He, Lidan;  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.8/0.7 | Submit date：2022/03/28
High-frequency Data  Large Deviation  Moderate Deviation  Realized Laplace Transform Of Volatility  Semi-martingale  
Large deviation principles of realized Laplace transform of volatility Journal article
Feng Xinwei, He Lianda, Liu Zhi. Large deviation principles of realized Laplace transform of volatility[J]. Journal of Theoretical Probability, 2021, 35(1), 186–208.
Authors:  Feng Xinwei;  He Lianda;  Liu Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.8/0.7 | Submit date：2022/07/27
High-frequency Data  Large Deviation  Moderate Deviation  Realized Laplace Transform Of Volatility  Semi-martingale