Effects of jumps and small noise in high-frequency financial econometrics
Naoto Kunitomo, Daisuke Kurisu
| Year of publication: |
March 2017
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|---|---|
| Authors: | Kunitomo, Naoto ; Kurisu, Daisuke |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 24.2017, 1, p. 39-73
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| Subject: | High-frequency financial data | Continuous-time processes | Jumps | Micro-market noise | Small-noise asymptotics | Asymptotic robustness of Jump-Test | Volatilität | Volatility | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | Finanzmarktökonometrie | Financial econometrics | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Elektronisches Handelssystem | Electronic trading | Finanzmarkt | Financial market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-017-9223-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742284