Rank tests at jump events
Jia Li, Viktor Todorov, George Tauchen and Huidi Lin
| Year of publication: |
2019
|
|---|---|
| Authors: | Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene ; Lin, Huidi |
| Subject: | Factor model | High-frequency data | Jumps | Rank test | Semimartingale | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Ranking-Verfahren | Ranking method | Faktorenanalyse | Factor analysis | Martingal | Martingale | CAPM | Volatilität | Volatility | Schätzung | Estimation | Statistischer Test | Statistical test |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2017.1328362 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012177350