Jumps in high-frequency data : spurious detections, dynamics, and news
Pierre Bajgrowicz (Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland; Litasco SA, Geneva, Switzerland), Olivier Scaillet, Adrien Treccani (Geneva School of Economics and Management, University of Geneva, and Swiss Finance Institute, Geneva, Switzerland)
| Year of publication: |
August 2016
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|---|---|
| Authors: | Bajgrowicz, Pierre ; Scaillet, Olivier ; Treccani, Adrien |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 62.2016, 8, p. 2198-2217
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| Subject: | jumps | high-frequency data | spurious detections | jumps dynamics | news releases | cojumps | Volatilität | Volatility | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation | Ankündigungseffekt | Announcement effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2015.2234 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011539496