59 citations · 118 across the 8 of their papers we have counts for
8 papers
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including i…
Large Deviation principles of Realized Laplace Transform of Volatility
Xinwei Feng, Lidan He, Zhi Liu
Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citet{TT2012a} and related central limit theorem has been we…
Heteroscedasticity test of high-frequency data with jumps and microstructure noise
Qiang Liu, Zhi Liu, Chuanhai Zhang
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and micros…
Edgeworth corrections for spot volatility estimator
Lidan He, Qiang Liu, Zhi Liu
We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based…
High-dimensional covariance matrices in elliptical distributions with application to spherical test
Jiang Hu, Weiming Li, Zhi Liu +1
This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Su…
Asymptotic properties of the realized skewness and related statistics
Yuta Koike, Zhi Liu
The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, s…
Testing for pure-jump processes for high-frequency data
Xin-Bing Kong, Zhi Liu, Bing-Yi Jing
Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistic…
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…