Zhi Liu

University of Macau

P.O. Box 3001

Macau

SCHOLARLY PAPERS

7

DOWNLOADS

484

CITATIONS

0

Scholarly Papers (7)

1.

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 129 (143,046)

Abstract:

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

2.

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 123 (151,492)

Abstract:

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

3.

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 29 (287,153)

Abstract:

4.

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 22 (385,769)

Abstract:

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

5.

Nonparametric Regression with Nearly Integrated Regressors Under Long‐Run Dependence

The Econometrics Journal, Vol. 20, Issue 1, pp. 118-138, 2017
Number of pages: 21 Posted: 22 Mar 2017
University of Kansas, Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, Soochow University and University of Macau
Downloads 0 (561,733)
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Abstract:

Local time, Ornstein–Uhlenbeck fractional Brownian motion, Unit root

6.

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 0 (340,830)

Abstract:

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

7.

Inference on the Integrated Volatility with Multiple Records by Using Range

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

Abstract:

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