Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Guangying Liu, Jing Xiang and Yuquan Cang
| Year of publication: |
2020
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|---|---|
| Authors: | Liu, Guangying ; Xiang, Jing ; Cang, Yuquan |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 11, p. 1795-1809
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| Subject: | Edgeworth expansion | High-frequency data | Microstructure noise | Price jumps | Testing for jumps | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory | 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: | 10.1080/14697688.2020.1772497 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313515