4 papers
Empirical Characteristic Function Method for Leverage Effect and Volatility of Volatility: Estimation and Feasible Inference
Qiang Liu, Zhi Liu, Guangren Yang +1
We develop jump-robust estimators of the leverage effect and volatility of volatility using high-frequency data. Our construction begins with a spot volatility estimator based on t…
The realized copula of volatility
Kim Christensen, Wenjing Liu, Zhi Liu +1
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is…
The logarithmic law of sample correlation matrices
Yanpeng Li, Zhi Liu, Jiahui Xie +1
Let be the sample correlation matrix constructed from , whose entries are independent and identically distributed random variable…
Spectral analysis of high-dimensional spot volatility matrix with applications
Qiang Liu, Yiming Liu, Zhi Liu +1
In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the samp…