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On Bivariate Time-Varying Price Staleness Journal article
ZHU Haibin, LIU Zhi. On Bivariate Time-Varying Price Staleness[J]. Journal of Business and Economic Statistics, 2024, 42(1), 229-242.
Authors:  ZHU Haibin;  LIU Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.9/4.8 | Submit date：2023/08/03
Joint Price Staleness  Market Liquidity  Price Staleness  Stable Convergence  
Sixth-order quasi-compact difference scheme for the time-dependent diffusion equation Journal article
Wang, Zhi, Ge, Yongbin, Sun, Hai-Wei, Sun, Tao. Sixth-order quasi-compact difference scheme for the time-dependent diffusion equation[J]. Japan Journal of Industrial and Applied Mathematics, 2023, 41(2), 757-788.
Authors:  Wang, Zhi;  Ge, Yongbin;  Sun, Hai-Wei;  Sun, Tao
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.7/0.7 | Submit date：2024/02/22
Diffusion Equation  Modified Helmholtz Equation  Quasi-compact Difference Method  Sixth-order Convergence  Unconditionally Stable  
Multivariate Stable Approximation by Stein’s Method Journal article
Chen,Peng, Nourdin,Ivan, Xu,Lihu, Yang,Xiaochuan. Multivariate Stable Approximation by Stein’s Method[J]. Journal of Theoretical Probability, 2023, 37(1), 446–488.
Authors:  Chen,Peng;  Nourdin,Ivan;  Xu,Lihu;  Yang,Xiaochuan
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.8/0.7 | Submit date：2023/08/03
Fractional Laplacian  Generalized Central Limit Theorem  Multivariate Α-stable Approximation  Rate Of Convergence  Stein’s Method  Wasserstein(-type) distance  
Realized Laplace Transform of Volatility with Microstructure Noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Realized Laplace Transform of Volatility with Microstructure Noise[J]. Scandinavian Journal of Statistics, 2019.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite |  | Submit date：2019/06/10
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Rate efficient estimation of realized Laplace transform of volatility with microstructure noise[J]. SCANDINAVIAN JOURNAL OF STATISTICS, 2019, 46(3), 920-953.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:0.8/1.1 | Submit date：2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
Li Wang, Zhi Liu, Xiaochao Xia. Rate efficient estimation of realized Laplace transform of volatility with microstructure noise[J]. SCANDINAVIAN JOURNAL OF STATISTICS, 2019, 46(3), 920-953.
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:0.8/1.1 | Submit date：2020/06/03
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
A linearized second-order finite difference scheme for time fractional generalized BBM equation Journal article
Lyu, Pin, Vong, Seakweng. A linearized second-order finite difference scheme for time fractional generalized BBM equation[J]. APPLIED MATHEMATICS LETTERS, 2018, 78, 16-23.
Authors:  Lyu, Pin;  Vong, Seakweng
Favorite | TC[WOS]:8 TC[Scopus]:10  IF:2.9/2.6 | Submit date：2018/10/30
Fractional Bbm Equation  Linearized Scheme  Second-order Convergence  Unconditionally Stable  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
Liu, Zhi. Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations[J]. FINANCE AND STOCHASTICS, 2017, 21(2), 427-469.
Authors:  Liu, Zhi
Favorite | TC[WOS]:4 TC[Scopus]:5  IF:1.1/1.7 | Submit date：2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence  
Estimating the volatility functionals with multiple transactions Journal article
Jing, B., Liu, Z., Kong, X.. Estimating the volatility functionals with multiple transactions[J]. Econometric Theory, 2017, 331-365.
Authors:  Jing, B.;  Liu, Z.;  Kong, X.
Favorite | TC[WOS]:4 TC[Scopus]:6  IF:1.0/1.6 | Submit date：2022/07/27
High Frequency Data  Volatility Estimation  Stable Convergence  
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