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Tests for equal forecast accuracy under heteroskedasticity Journal article
Harvey, David I., Leybourne, Stephen J., Zu, Yang. Tests for equal forecast accuracy under heteroskedasticity[J]. Journal of Applied Econometrics, 2024, 1-20.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Zu, Yang
Adobe PDF | Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.3/3.0 | Submit date：2024/05/16
Diebold–mariano Test  Forecast Accuracy  Nonparametric Volatility Estimation  
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
Liu, Zhi, Xia, Xiaochao, Zhou, Guoliang. Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data[J]. RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 7(3).
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.9/0.9 | Submit date：2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise  
Estimation of spot volatility with superposed noisy data Journal article
Liu, Qiang, Liu, Yiqi, Liu, Zhi, Wang, Li. Estimation of spot volatility with superposed noisy data[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 44, 62-79.
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi;  Wang, Li
Favorite | TC[WOS]:4 TC[Scopus]:3  IF:3.8/3.4 | Submit date：2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
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