Inference on self-exciting jumps in prices and volatility using high-frequency measures
Worapree Maneesoonthorn, Catherine S. Forbes, and Gael M. Martin
| Year of publication: |
April/May 2017
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|---|---|
| Authors: | Maneesoonthorn, Worapree ; Forbes, Catherine Scipione ; Martin, Gael M. |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 3, p. 504-532
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| Subject: | Dynamic price and volatility jumps | Stochastic volatility | Hawkes process | Nonlinear state space model | Bayesian Markov chain Monte Carlo | Global financial crisis | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Finanzkrise | Financial crisis | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zustandsraummodell | State space model | Schätzung | Estimation | Finanzmarkt | Financial market | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Kapitaleinkommen | Capital income |