Research

Working Papers

• When asynchronicity meets price staleness: Robust estimation of high-frequency covariance, with Wenhao Cui. (Submitted)​

• Estimation of volatility functionals with time-varying price staleness, with Qiang Liu, Zhi Liu. (R&R at Econometric Theory)

• Bias-corrected realized covariation in the presence of price staleness, with Zhi Liu. (R&R)

• Forecasting intraday trading volume with periodicity, with #Dahao Tan, Chao Zhang. (Submitted)

• Statistical inference of multivariate price staleness, with Wenjing Liu, Zhi Liu. (forthcoming in Statistics and Its Interface)

• Penalized latent block model for functional data co-clustering, with #Shi Chen, Yiming Liu, Guangren Yang. (Submitted)

• A nonparametric test for time-varying systematic staleness with high-frequency data, with Wenjing Liu, #Yuexi Zhao. 

• The leverage effect puzzle revisited: Zeros, with Yu Jiang, Zhi Liu, Mathias Vetter.

• Fixed-k inference for intensity, with Wenhao Cui.

• A unified test for changpoints in high-frequency volatility, with Guanghui Cheng, Qiyuan Li.