When will the Covid-19 pandemic peak?
Li, S. and Linton, O. (2020)
Keywords: COVID-19, Epidemic, Nonparametric, Prediction, Trend
JEL Codes: C10
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. (2019)
Keywords: Dependent microstructure noise, realized volatility, bias correction, integrated volatility, mixing sequences, pre-averaging method
JEL Codes: C13 C14 C55 C58
Quantilograms under Strong Dependence
Lee, L., Linton, O., Whang, Y-J. (2019)
Keywords: Long Memory, Moving Block Bootstrap, Nonlinear Dependence, Quantilogram and Cross-Quantilgoram, Reduction Principle
JEL Codes: C22