Narrow search
Showing 1 - 9 of 9
Cover Image
An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang - In: Journal of empirical finance 22 (2013), pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Cover Image
A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157
Persistent link: https://www.econbiz.de/10003947634
Cover Image
A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation
Li, Minqiang - 2009
Asset price bubbles can arise unintentionally when one uses continuous-time diffusion processes to model financial quantities. We propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach. Damping can be done on either...
Persistent link: https://www.econbiz.de/10013155898
Cover Image
A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation
Li, Minqiang - 2010
Asset price bubbles can arise unintentionally when one uses continuous-time diffusion processes to model financial quantities. We propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach. Damping can be done on either...
Persistent link: https://www.econbiz.de/10013148117
Cover Image
A new spread estimator
Bleaney, Michael F.; Li, Zhiyong - 2014
Persistent link: https://www.econbiz.de/10010347319
Cover Image
A new spread estimator
Bleaney, Michael F.; Li, Zhiyong - In: Review of quantitative finance and accounting 47 (2016) 1, pp. 179-211
Persistent link: https://www.econbiz.de/10011595570
Cover Image
The performance of bid-ask spread estimators under less than ideal conditions
Bleaney, Michael F.; Li, Zhiyong - In: Studies in economics and finance 32 (2015) 1, pp. 98-127
Persistent link: https://www.econbiz.de/10011380759
Cover Image
New bid-ask spread estimators from daily high and low prices
Li, Zhiyong; Lambe, Brendan; Adegbite, Emmanuel - In: International review of financial analysis 60 (2018), pp. 69-86
Persistent link: https://www.econbiz.de/10012007516
Cover Image
Conditional estimation of diffusion processes
Li, Minqiang; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 74 (2004) 1, pp. 31-66
Persistent link: https://www.econbiz.de/10002251665