4 papers
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…
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…