143 citations · 145 across the 2 of their papers we have counts for
2 papers
math.PR2016★ 2 cited
Asymptotic properties of functionals of increments of a continuous semimartingale with stochastic sampling times
Michael Levine, Xiaoguang Wang, Jian Frank Zou
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general disc…
math.ST2010★ 143 cited
Vast volatility matrix estimation for high-frequency financial data
Yazhen Wang, Jian Zou
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are oft…