Mingjin Wang

PKU

Professor

Peking University

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

4

DOWNLOADS

346

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

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1.

Volatility Estimation and Jump Testing via Realized Information Variation

Number of pages: 31 Posted: 14 Jul 2016
Weiyi Liu and Mingjin Wang
Capital University of Economics and Business - School of Finance and PKU
Downloads 99 (422,194)

Abstract:

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Volatility, Jump, Realized Information Variation, Realized Information Power Variation, Microstructure noise

2.

On the Computation of LOT Liquidity Measure

Economics Letters, Vol. 136, No. 11, June 2015
Number of pages: 10 Posted: 31 May 2016
Wandi Zhao and Mingjin Wang
Capital University of Economics and Business and PKU
Downloads 99 (422,194)

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Liquidity, LOT Model, Maximum Likelihood Estimation

3.

A New Effective Spread Estimator Based on Price Range

Number of pages: 32 Posted: 10 Jan 2017
Yang Gao and Mingjin Wang
Beijing University of Technology and PKU
Downloads 94 (436,660)

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Liquidity; Bid-Ask Spread; Price Range; QMLE; Genetic Algorithm

4.

Bayesian Analysis of LOT Liquidity Model

Number of pages: 20 Posted: 07 Mar 2018 Last Revised: 17 Mar 2018
Wandi Zhao and Mingjin Wang
Capital University of Economics and Business and PKU
Downloads 54 (590,755)

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Liquidity, LOT Measure, Tobit Model, Gibbs Sampling, Data Augmentation