Similar Search Results

Narrow search

On the jump activity index for semimartingales

Jing, Bingyi; Kong, Xinbing; Liu, Zhi; Mykland, Per A. - In: Journal of econometrics 166 (2012) 2, pp. 213-223

Persistent link: https://www.econbiz.de/10009509230

Nonparametric regression with nearly integrated regressors under long-run dependence

Cai, Zongwu; Jing, Bingyi; Kong, Xinbing; Liu, Zhi - In: The econometrics journal 20 (2017) 1, pp. 118-138

Persistent link: https://www.econbiz.de/10011719971

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

On estimation of hurst parameter under noisy observations

Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492

Persistent link: https://www.econbiz.de/10012249184

Determining the Number of Common Driving Brownian Motions Underlying High Frequency Data

Kong, Xinbing - 2016

In this paper, we find an approach to determine the number of common driving Brownian motions latent in the high dimensional Ito process using high frequency data. The high dimensional Ito process is first approximated locally on a shrinking block by discrete-time approximate factor model. We...

Persistent link: https://www.econbiz.de/10012996433

Testing against constant factor loading matrix with large panel high-frequency data

Kong, Xin-bing; Liu, Cheng - In: Journal of econometrics 204 (2018) 2, pp. 301-319

Persistent link: https://www.econbiz.de/10011974736

A rank test for the number of factors with high-frequency data

Kong, Xin-Bing; Liu, Zhi; Zhou, Wang - In: Journal of econometrics 211 (2019) 2, pp. 439-460

Persistent link: https://www.econbiz.de/10012303820