Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Worapree Maneesoonthorn, Gael M Martin and Catherine S Forbes
| Year of publication: |
September 2018
|
|---|---|
| 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 | Hawkes process | Discretized jump diffusion model | Volatility jumps | Bayesian Markov chain Monte Carlo | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Kapitaleinkommen | Capital income |
freely available
| Extent: | 1 Online-Ressource (circa 48 Seiten) Illustrationen |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 18, 17 |
| 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 |
Persistent link: https://www.econbiz.de/10012583570