Xiaolu Zhao

Dongbei University of Finance and Economics

Dalian, Liaoning 116025

China

SCHOLARLY PAPERS

6

DOWNLOADS

807

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Volatility Estimation and Forecasts Based on Price Durations

Number of pages: 74 Posted: 11 Jan 2016 Last Revised: 29 Jan 2021
University of Nottingham, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Dongbei University of Finance and Economics
Downloads 441 (97,645)
Citation 4

Abstract:

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Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting

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
Dongbei University of Finance and Economics, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 162 (266,231)

Abstract:

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

3.

Separate Noise and Jumps From Tick Data: An Endogenous Thresholding Approach

Number of pages: 70 Posted: 25 Mar 2021
Dongbei University of Finance and Economics, University of Nottingham and University of Cambridge
Downloads 94 (396,103)

Abstract:

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Price jump detection; Market microstructure noise; Price durations; High-frequency data.

4.

First Passage Time Covariance Matrix Estimators

Number of pages: 25 Posted: 26 Mar 2021
University of Nottingham, University of Cambridge and Dongbei University of Finance and Economics
Downloads 48 (561,388)

Abstract:

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Price durations; Covariance matrix estimation; High-frequency data; GMV portfolio allocation

5.

Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints

Number of pages: 50 Posted: 19 Feb 2021
Oliver B. Linton and Xiaolu Zhao
University of Cambridge and Dongbei University of Finance and Economics
Downloads 47 (566,305)

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Empirical Likelihood; GARCH; Quantile; Value-at-Risk; Expected Shortfall.

6.

Adjusted-Range Self-Normalized Confidence Interval Construction for Censored Dependent Data

Number of pages: 12 Posted: 16 May 2022 Last Revised: 01 Nov 2022
Chinese Academy of Sciences (CAS) - School of Economics and Management, affiliation not provided to SSRN, University of Cambridge and Dongbei University of Finance and Economics
Downloads 15 (784,608)

Abstract:

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Adjusted-range, censored dependent data, Empirical likelihood, self-normalization, survival analysis