Zhi Liu

University of Macau

Dr.

P.O. Box 3001

Macau

SCHOLARLY PAPERS

8

DOWNLOADS

616

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (8)

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 213 (148,746)

Abstract:

Loading...

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 193 (163,080)
Citation 1

Abstract:

Loading...

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 76 (326,355)

Abstract:

Loading...

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 72 (336,454)
Citation 1

Abstract:

Loading...

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 41 (436,346)

Abstract:

Loading...

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

6.

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 21 (535,459)

Abstract:

Loading...

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

7.

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 (692,145)
  • Add to Cart

Abstract:

Loading...

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

8.

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:

Loading...

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