Xiaolu Zhao

Donbei University of Finance and Economics

217 Jianshan St,

Shahekou

Dalian, Liaoning

China

SCHOLARLY PAPERS

2

DOWNLOADS

371

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

More Accurate Volatility Estimation and Forecasts Using Price Durations

Number of pages: 61 Posted: 11 Jan 2016 Last Revised: 14 Nov 2018
Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Donbei University of Finance and Economics
Downloads 294 (104,580)
Citation 4

Abstract:

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Volatility estimation; Stochastic sampling; Price durations; High-frequency prices; Market microstructure noise; Forecasting; DJIA stocks.

2.

High-Frequency Covariance Matrix Estimation Using Price Durations

Number of pages: 57 Posted: 01 May 2018
Xiaolu Zhao, Ingmar Nolte and Stephen J. Taylor
Donbei University of Finance and Economics, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 77 (314,287)

Abstract:

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Price Durations, Covariance Estimation, High-Frequency Data, Market Microstructure Noise, Minimum Variance Portfolio