Dynamic asset price jumps and the performance of high frequency tests and measures
Worapree Maneesoonthorn, Gael M. Martin and Catherine S. Forbes
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Maneesoonthorn, Worapree ; Martin, Gael M. ; Forbes, Catherine Scipione |
| Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
| Subject: | Dynamic price jumps | Price jump tests | Nonparametric jump measures | Hawkes process | Discretized jump diffusion model | Bayesian Markov chain Monte Carlo | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory | CAPM | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
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