Jump regressions

by Jia Li, Viktor Todorov, and George Tauchen

Year of publication:	January 2017
Authors:	Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene
Published in:	Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 85.2017, 1, p. 173-195
Subject:	Efficient estimation \| high-frequency data \| jumps \| LAMN \| regression \| semimartingale \| specification test \| stochastic volatility \| Regressionsanalyse \| Regression analysis \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Martingal \| Martingale \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Zeitreihenanalyse \| Time series analysis \| Börsenkurs \| Share price \| 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:	10.3982/ECTA12962 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011738476