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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

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

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

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

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

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