Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Kent Wang; Junwei Liu; Zhi Liu
| Year of publication: |
2013
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|---|---|
| Authors: | Wang, Kent ; Liu, Junwei ; Liu, Zhi |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1777-1786
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| Subject: | Ito semi-martingale | High-frequency finance | Co-volatility | Non-synchronous trading | Idiosyncratic jumps | Co-jump | Microstructure noise | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Finanzmarkt | Financial market | Noise Trading | Noise trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009729461