Testing for non-correlation between price and volatility jumps
Jean Jacod, Claudia Klüppelberg, Gernot Müller
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Jacod, Jean ; Klüppelberg, Claudia ; Müller, Gernot |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 2, p. 284-297
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| Subject: | Common jumps | Discrete sampling | High-frequency data | Itô semimartingale | Statistical test | Stochastic volatility model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schätzung | Estimation | Statistischer Test | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818360