Zhi Liu

University of Macau

Dr.

P.O. Box 3001

Macau

SCHOLARLY PAPERS

7

DOWNLOADS

678

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Realized Skewness at High Frequency and the Link to a Conditional Market Premium

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 32 Posted: 25 Feb 2013 Last Revised: 26 Apr 2014
Zhi Liu, Kent Wang and Junwei Liu
University of Macau, University of Queensland and Xiamen University
Downloads 243 (160,904)

Abstract:

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Ito semi-martingale, High-frequency, Jump, Microstructure noise, Realized skewness, Stock return prediction

2.

Realised Co-Skewness of the VIX and S&P 500 and the Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 27 Posted: 08 Jan 2014
University of Macau, Xiamen University, University of Queensland and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 212 (183,236)
Citation 1

Abstract:

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Itˆo Variance hedging; Co-skewness; Stock return prediction; High frequency data; Market microstructure noise; Pre-averaging

3.

A Central Limit Theorem for the Number of Factors with High Frequency Data

Number of pages: 28 Posted: 01 Nov 2016
Xinbing Kong, Zhi Liu and Zhou Wang
Soochow University, University of Macau and National University of Singapore (NUS)
Downloads 81 (379,963)
Citation 1

Abstract:

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Continuous time factor model, High dimensional Ito process, Driving process

4.

Estimating the Volatility Functionals with Multiple Transactions

Number of pages: 32 Posted: 21 Jan 2015
Bingyi Jing, Zhi Liu and Xinbing Kong
Hong Kong University of Science & Technology (HKUST), University of Macau and Soochow University
Downloads 76 (397,040)
Citation 2

Abstract:

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5.

Higher Order Realized Power Variations of Semi-Martingales with Applications

Number of pages: 34 Posted: 21 May 2014
Yuta Koike and Zhi Liu
Tokyo Metropolitan University and University of Macau
Downloads 46 (502,059)

Abstract:

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High frequency data; Itô semi-martingale; Jumps; Realized variations; Stable convergence.

6.

On Truncated Multi-power Estimator of Integrated Volatility With Noisy High Frequency Data

Number of pages: 54 Posted: 12 Feb 2021
Zhongnan University of Economics and Law - School of Finance, University of Macau and Xiamen University
Downloads 20 (649,065)

Abstract:

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Itô semi-martingale, pre-averaging, threshold estimation, multi-power variation estimation, Lévy jumps, market microstructure noise, high-frequency data

7.

Inference on the Integrated Volatility with Multiple Records by Using Range

Posted: 25 Aug 2016
Yiqi Liu, Yiqi Liu, Wang Li and Zhi Liu
University of MacauUniversity of Macau, University of Macau and University of Macau

Abstract:

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Integrated volatility; High-frequency data; Multiple records; Range-based estimation

Other Papers (1)

Total Downloads: 42
1.

Jumps at Ultra-High Frequency: Evidence From the Chinese Stock Market

Number of pages: 32 Posted: 20 Aug 2019
Chuanhai Zhang, Zhi Liu and Qiang Liu
Zhongnan University of Economics and Law - School of Finance, University of Macau and University of Macau
Downloads 42 (495,542)

Abstract:

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jumps, market microstructure noise, spurious detections, threshold pre-averaged bi-power variation, ultra high frequency data