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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility

Wang, Kent; Liu, Junwei; Liu, Zhi - In: Journal of banking & finance 37 (2013) 5, pp. 1777-1786

Persistent link: https://www.econbiz.de/10009729461

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

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

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

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

On Truncated Multi-power Estimator of Integrated Volatility With Noisy High Frequency Data

Zhang, Chuanhai; Liu, Zhi; Chen, Haiqiang - 2021

This paper develops the asymptotic theory of the threshold pre-averaged multi-power variation estimation in the simultaneous presence of jumps and market microstructure noise and then proposes an improved estimator for integrated volatility of an Itô semi-martingale based on the obtained...

Persistent link: https://www.econbiz.de/10013246425