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| A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises 期刊论文 APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 603-623 作者: Tang, Yinfen; Zhang, Zhiyuan 收藏  |  浏览/下载:6/0  |  提交时间:2019/08/22
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| Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data 期刊论文 RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 3 作者: Liu, Zhi; Xia, Xiaochao; Zhou, Guoliang 收藏  |  浏览/下载:8/0  |  提交时间:2019/08/22
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| A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise 期刊论文 JOURNAL OF ECONOMETRICS, 2018, 卷号: 203, 期号: 2, 页码: 187-222 作者: Li, Yingying; Zhang, Zhiyuan; Li, Yichu 收藏  |  浏览/下载:6/0  |  提交时间:2019/08/22
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| 市场微观结构噪声、跳跃与波动率估计:方法及其应用 学位论文 2017, 2016 张传海 收藏  |  浏览/下载:5/0  |  提交时间:2017/06/20
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| A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise 学术活动 .A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise - 收藏  |  浏览/下载:3/0  |  提交时间:2019/10/31 |
| 金融高频数据仅仅是一个优质的时间序列吗:概念及统计特征的再考察 期刊论文 2014 魏瑾瑞; 朱建平; 谢邦昌 收藏  |  浏览/下载:3/0  |  提交时间:2016/05/17
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| Disentangling the Effect of Jumps on Systematic Risk Using A New Estimator of Integrated Co-volatility 期刊论文 http://www.wise.xmu.edu.cn/paperInfor.asp?id=286, 2013 Kent Wang; Junwei Liu; Zhi Liu 收藏  |  浏览/下载:2/0  |  提交时间:2013/11/08
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| Volatility inference in the presence of both endogenous time and microstructure noise 期刊论文 STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 卷号: 123, 期号: 7, 页码: 2696-2727 作者: Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua 收藏  |  浏览/下载:3/0  |  提交时间:2019/08/22
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| 金融市场风险分解与波动率预测:基于高频数据的研究 学位论文 2013, 2013 刘君伟 收藏  |  浏览/下载:3/0  |  提交时间:2016/01/13
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| Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility 期刊论文 http://dx.doi.org/10.1016/j.jbankfin.2013.01.024, 2013 Wang, Kent; Liu, Junwei; Liu, Zhi; 刘俊伟 收藏  |  浏览/下载:3/0  |  提交时间:2015/07/22
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