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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
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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
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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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Intraday trades profile estimation : an intensity approach
Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
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Estimation of an order book dependent hawkes process for large datasets
Mucciante, Luca; Sancetta, Alessio - 2024
Persistent link: https://www.econbiz.de/10015338768
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Asymptotically informative prior for Bayesian analysis
Yuan, Ao; Gooijer, Jan G. de - 2011
Persistent link: https://www.econbiz.de/10010191087
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Estimation of the parameters of a Markov-modulated loss process in insurance
Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 388-404
Persistent link: https://www.econbiz.de/10010195915
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Estimating the change point of binary porfiles in phase II
Sharafi, Alireza; Aminnayeri, Majid; Amiri, Amirhossein - In: International journal of productivity and quality … 14 (2014) 3, pp. 336-351
Persistent link: https://www.econbiz.de/10010488442
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Estimation of dynamic discrete models from time aggregated data
Hong, Han; Li, Weiming; Wang, Boyu - In: Journal of econometrics 188 (2015) 2, pp. 435-446
Persistent link: https://www.econbiz.de/10011503225