Narrow search
Showing 1 - 10 of 45
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Forecasting realized volatility with machine learning : panel data perspective
Zhu, Haibin; Bai, Lu; He, Lidan; Liu, Zhi - In: Journal of empirical finance 73 (2023), pp. 251-271
Persistent link: https://www.econbiz.de/10014477028
Cover Image
On bivariate time-varying price staleness
Zhu, Haibin; Liu, Zhi - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 229-242
Persistent link: https://www.econbiz.de/10014449902
Cover Image
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Cover Image
Forecasting major Asian exchange rates using a new semiparametric STAR model
Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426
Persistent link: https://www.econbiz.de/10011287504