Nowadays,the GNSS applications have been developed not only with high requirement on the positioning accuracy,but also w......

This paper introduces a unifued model,which can accommodate both a continuous-time It(o) process used to model high-freq......

We develop econometric tools to study integrated volatility with potentially time-dependent microstructure noise in high......

This paper examines the usefulness of high-frequency data for estimation the covariance matrix for portfolio choice.A co......

We study the estimation of high dimensional minimum variance portfolio(MVP).Two settings are considered: the low frequen......

This paper mainly focuses on the realized volatility,which is a new volatility measuring method based on high-frequency ......