Testing for non-correlation between price and volatility jumps
Year of publication: |
April 2017
|
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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
|
Subject: | Common jumps | Discrete sampling | High-frequency data | Itô semimartingale | Statistical test | Stochastic volatility model | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Statistischer Test | Zeitreihenanalyse | Time series analysis | Martingal | Martingale | Schätzung | Estimation | Kapitaleinkommen | Capital income | Stichprobenerhebung | Sampling |
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