High-frequency jump tests : which test should we use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
| Year of publication: |
2020
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|---|---|
| Authors: | Maneesoonthorn, Worapree ; Martin, Gael M. ; Forbes, Catherine Scipione |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 219.2020, 2, p. 478-487
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| Subject: | Bivariate jump diffusion model | Microstructure noise | Nonparametric jump measures | Price jump tests | Sampling frequency | Volatility jumps | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | CAPM | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.03.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483405