1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2013★ 1 cited
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a sett…
stat.ME2013
Statistical Properties of Microstructure Noise
Jean Jacod, Yingying Li, Xinghua Zheng
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as w…
math.PR2009
Spatial Epidemics and Local Times for Critical Branching Random Walks in Dimensions 2 and 3
Steven P. Lalley, Xinghua Zheng
The behavior at criticality of spatial SIR (susceptible/infected/recovered) epidemic models in dimensions two and three is investigated. In these models, finite populations of size…