Guangying Liu

School of Statistics and Mathematics, Nanjing Audit University

Professor

No. 86 Yushan Western Road, Nanjing

Nanjing, Jiangsu 211815

China

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Scholarly Papers (1)

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Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Journal of Econometrics, Forthcoming, HKUST Business School Research Paper No. 2021-014
Number of pages: 57 Posted: 09 Mar 2021 Last Revised: 04 Jun 2021
Yingying Li, Guangying Liu and Zhiyuan Zhang
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, School of Statistics and Mathematics, Nanjing Audit University and Shanghai University of Finance and Economics - School of Statistics and Management
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Abstract:

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Volatility of Volatility, Central Limit Theorem, High Frequency Data, Microstructure Noise, Semimartingale