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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

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

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

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

Estimating the Volatility Functionals with Multiple Transactions

Jing, Bingyi - 2015

The phenomenon of multiple transactions at each recording time is a common occurrence for high frequency financial data, due to heavy trading of the market and limitation of the recording mechanism. The situation has existed for a long time, but is getting more common in recent years due to...

Persistent link: https://www.econbiz.de/10013031239