The drift burst hypothesis
Year of publication: |
2022
|
---|---|
Authors: | Christensen, Kim ; Oomen, Roel ; Renò, Roberto |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 2, p. 461-497
|
Subject: | Flash crashes | Gradual jumps | Volatility bursts | Liquidity | Nonparametric statistics | Microstructure noise | Theorie | Theory | Volatilität | Volatility | Nichtparametrisches Verfahren | Marktmikrostruktur | Market microstructure | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Noise Trading | Noise trading | Börsenkurs | Share price |
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