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Statistical Inference for spot correlation and spot market Beta under infinite variation jumps Journal article
Liu, Q., Liu, Z.. Statistical Inference for spot correlation and spot market Beta under infinite variation jumps[J]. Journal of Financial Econometrics, 2022, 20(4), 612-654.
Authors:  Liu, Q.;  Liu, Z.
Favorite | TC[WOS]:1 TC[Scopus]:1 | Submit date：2022/07/27
Semimartingale  High Frequency Data  Infinite Variation Jump  Spot Covariance  Spot Correlation  Spot Market Beta  Central Limit Theorem  
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  
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.  
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]. Annals of Statistics, 2015, 43(2), 847.
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite | TC[WOS]:39 TC[Scopus]:45 | Submit date：2018/10/30
Integrated Volatility  Itô Semimartingale  Pure-jump Process  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  
On the Estimation of Integrated Volatility With Jumps and Microstructure Noise Journal article
Jing B.-Y., Liu Z., Kong X.-B.. On the Estimation of Integrated Volatility With Jumps and Microstructure Noise[J]. Journal of Business and Economic Statistics, 2014, 32(3), 457-467.
Authors:  Jing B.-Y.;  Liu Z.;  Kong X.-B.
Favorite | TC[WOS]:39 TC[Scopus]:40 | Submit date：2019/02/14
Central Limit Theorem  High Frequency Data  Quadratic Variation  Semimartingale  
On the jump activity index for semimartingales Journal article
Jing B.-Y., Kong X.-B., Liu Z., Mykland P.. On the jump activity index for semimartingales[J]. Journal of Econometrics, 2012, 166(2), 213-223.
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.;  Mykland P.
Favorite | TC[WOS]:48 TC[Scopus]:51 | Submit date：2019/02/14
High Frequency  Jump Activity Index  Power Variation  Semimartingale  Stable Convergence