High-frequency jump tests : which test should we use?
Worapree Maneesoonthorn, Gael M. Martin and Catherine S. Forbes
| 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 | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Statistischer Test | Statistical test | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Stichprobenerhebung | Sampling | CAPM | Börsenkurs | Share price | Schätztheorie | Estimation theory |
freely available
| 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 |
Persistent link: https://www.econbiz.de/10012606872