All Outputs (2)

Adjusted-range self-normalized confidence interval construction for censored dependent data (2022)
Journal Article
Sun, J., Hong, Y., Linton, O., & Zhao, X. (2022). Adjusted-range self-normalized confidence interval construction for censored dependent data. Economics Letters, 220, Article 110873. https://doi.org/10.1016/j.econlet.2022.110873

This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation s... Read More about Adjusted-range self-normalized confidence interval construction for censored dependent data.

Volatility Estimation and Forecasts Based on Price Durations (2021)
Journal Article
Young Hong, S., Nolte, I., Taylor, S. J., & Zhao, X. (2023). Volatility Estimation and Forecasts Based on Price Durations. Journal of Financial Econometrics, 21(1), 106-144. https://doi.org/10.1093/jjfinec/nbab006

We investigate price duration variance estimators that have long been neglected in the literature. In particular, we consider simple-to-construct non-parametric duration estimators, and parametric price duration estimators using autoregressive condit... Read More about Volatility Estimation and Forecasts Based on Price Durations.