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CORC

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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
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
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
FORECASTING REALIZED VOLATILITY: A BAYESIAN MODEL-AVERAGING APPROACH 期刊论文
2010, 2010
Liu, Chun; Maheu, John M.
收藏  |  浏览/下载：4/0
Multi-scale jump and volatility analysis for high-frequency financial data 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2007, 卷号: 102, 期号: 480, 页码: 1349-1362
作者:  Fan, Jianqing;  Wang, Yazhen
收藏  |  浏览/下载：2/0  |  提交时间：2019/08/22
中国股票市场波动率的高频估计、特性与预测 学位论文
2002, 2002
黄后川
收藏  |  浏览/下载：1/0  |  提交时间：2016/02/14

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