59 citations · 202 across the 12 of their papers we have counts for
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math.ST2012★ 34 cited
Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
Bing-Yi Jing, Guangming Pan, Qi-Man Shao +1
The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown. We propose to use kernel estimators which are proved to be cons…
math.ST2012★ 59 cited
Modeling high-frequency financial data by pure jump processes
Bing-Yi Jing, Xin-Bing Kong, Zhi Liu
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The que…