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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

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

Jumps at ultra-high frequency : evidence from the Chinese stock market

Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013332776

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Realized volatility forecasting based on dynamic quantile model averaging

Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020

Persistent link: https://www.econbiz.de/10012312856

A new robust inference for asset return predictability via quantile regression

Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - 2020

Persistent link: https://www.econbiz.de/10012203086

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

New online investor sentiment and asset returns

Cai, Zongwu; Chen, Pixiong - 2022

Persistent link: https://www.econbiz.de/10013483748

Online investor sentiment via machine learning

Cai, Zongwu; Chen, Pixiong - 2024

Persistent link: https://www.econbiz.de/10015076826

Realized Skewness at High Frequency and the Link to a Conditional Market Premium

Liu, Zhi - 2014

We investigate the asymptotic properties of an existing high frequency realized skewness measure and propose a more reliable new estimator which is robust to the microstructure noise at ultra-high frequency level. Asymptotic theory for the new estimator has been derived. Simulation example...

Persistent link: https://www.econbiz.de/10013064485