Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Rodrigo Hizmeri, Marwan Izzeldin, Giovanni Urga
| Year of publication: |
2025
|
|---|---|
| Authors: | Hizmeri, Rodrigo ; Izzeldin, Marwan ; Urga, Giovanni |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 81.2025, Art.-No. 101594, p. 1-20
|
| Subject: | Brownian motion | Finite jumps | High-frequency data | Infinite jumps | Microstructure noise | Price staleness | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2025.101594 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015405342