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Research

Dr Vera Zhao

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  1. Working paper
  2. Published

    High-frequency Covariance Matrix Estimation Using Price Durations

    Nolte, I., Taylor, S. J. & Zhao, X., 2018.

    Research output: Working paper

  3. Published

    More accurate volatility estimation and forecasts using price durations

    Zhao, X., Taylor, S. J. & Nolte, I., 2016, 41 p.

    Research output: Working paper

  4. Journal article
  5. Published

    Volatility Estimation and Forecasts Based on Price Durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 19/01/2023, In: Journal of Financial Econometrics. 21, 1, p. 106-144 39 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. Doctoral Thesis
  7. Published

    Essays on financial econometrics: variance and covariance estimation using price durations

    Zhao, X., 2017, Lancaster University. 179 p.

    Research output: Thesis › Doctoral Thesis

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