Qiang Liu

University of Macau

P.O. Box 3001

Macau

SCHOLARLY PAPERS

1

DOWNLOADS

50

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

A Regression Method Based on Characteristic Functions for Numerical Solutions of Forward-Backward Stochastic Differential Equations

Number of pages: 8 Posted: 29 Jul 2014
University of Macau, University of MacauUniversity of Macau, University of Macau and University of Macau
Downloads 50 (493,794)

Abstract:

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Backward stochastic differential equations; Characteristic functions; Least-squares Monte Carlo methods.

Other Papers (1)

Total Downloads: 43
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 43 (495,542)

Abstract:

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