Rank tests at jump events
Jia Li, Viktor Todorov, George Tauchen and Huidi Lin
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene ; Lin, Huidi |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 2, p. 312-321
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| 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 |
| 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