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: |
March 2016 ; Revised 14, 30
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| Authors: | Maneesoonthorn, Worapree ; Forbes, Catherine Scipione ; Martin, Gael M. |
| Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
| 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 | Theorie | Theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Finanzkrise | Financial crisis | Zustandsraummodell | State space model | Finanzmarkt | Financial market | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Schätzung | Estimation |
freely available
| Extent: | 1 Online-Ressource (circa 37 Seiten) Illustrationen |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 16, 08 |
| 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/10011781663