Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Yin Liao, Heather M. Anderson
| Year of publication: |
2019
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|---|---|
| Authors: | Liao, Yin ; Anderson, Heather M. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 99.2019, p. 252-274
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| Subject: | Cojumps | Covariance | First-high-low-last price | High-frequency data | Realized co-range | Realized covariance | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test | Theorie | Theory | Börsenkurs | Share price | Panel | Panel study | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162415