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subject:"Volatility"
type_genre:"Article in journal"
~person:"Liu, Zhi"
~person:"Sancetta, Alessio"
~subject:"hypothesis testing"
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Search: subject_exact:"Estimation theory"
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Liu, Zhi
Sancetta, Alessio
Kumar, Dilip
16
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14
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12
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11
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10
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5
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5
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4
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4
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ECONIS (ZBW)
10
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
4
Intraday end-of-day volume prediction
Sancetta, Alessio
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 472-495
Persistent link: https://www.econbiz.de/10012654952
Saved in:
5
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
6
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
7
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
Saved in:
8
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
9
On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
Saved in:
10
Estimating the jump activity index under noisy observations using high-frequency data
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
- In:
Journal of the American Statistical Association : JASA
106
(
2011
)
494
,
pp. 558-568
Persistent link: https://www.econbiz.de/10009267673
Saved in:
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