"*"--corresponding author;

Financial Econometrics

  1. Liu, Q., and Liu, Z.* “Statistical inference of spot correlation and spot market beta under infinite variation jumps”, Journal of Financial Econometrics, to appear.
  2. Zhang C.*, Liu, Z., and Liu, Q. “Jumps at ultra-high frequency: Evidence from the Chinese stock market”, Pacific-Basin Finance Journal, to appear.
  3. He, L., Liu, Q.*, and Liu, Z. “Edgeworth corrections for spot volatility estimator”, Statistics and Probability Letters, 164: 108809, 2020.
  4. Liu, Q., Liu, Y., and Liu, Z*. “Estimating spot volatility in the presence of infinite variation jumps.” Stochastic Processes and their Applications, 128:1958-1987, 2018.

  5. Liu, Q., Liu, Y.*, Liu, Z., and Wang, L. “Estimation of spot volatility with superposed noisy data.” The North American Journal of Economics and Finance, 44:61-79, 2018.

  6. Liu, Y., Liu, Q.*, Liu, Z., and Ding, D. “Determining the integrated volatility via limit order books with multiple records.” Quantitative Finance, 17(11):1697-1714, 2017.

Statistical Machine Learning

  1. Liu, Q.*, and Tong, X. “Accelerating Metropolis-within-Gibbs sampler with localized computations of differential equations”, Statistics and Computing, 30:1037-1056, 2020.

 

 

 

Updated on 2021.02.23.