High-frequency jump tests : which test should we use?
Alternative title: | Dynamic price jumps |
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Year of publication: |
January 2020 ; (Revised working paper 17/18)
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Authors: | Maneesoonthorn, Worapree ; Martin, Gael M. ; Forbes, Catherine Scipione |
Publisher: |
[Victoria, Australia] : Monash University, Department of Econometrics and Business Statistics |
Subject: | Price jump tests | Nonparametric jump measures | Bivariate jump diffusion model | Volatility jumps | Microstructure noise | Sampling frequency | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Statistischer Test | Statistical test | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | CAPM | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (circa 18 Seiten) |
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Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 20, 03 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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High-frequency jump tests : which test should we use?
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