Testing for self-excitation in jumps
H. Peter Boswijk, Roger J.A. Laeven, Xiye Yang
| Year of publication: |
April 2018
|
|---|---|
| Authors: | Boswijk, Herman Peter ; Laeven, Roger J. A. ; Yang, Xiye |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 203.2018, 2, p. 256-266
|
| Subject: | Self-excitation | Jumps | Semimartingale | Spot jump intensity | Discrete sampling | High frequency data | Financial crisis | Volatilität | Volatility | Finanzkrise | Stochastischer Prozess | Stochastic process | Theorie | Theory | Martingal | Martingale | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974668