The relationship between the volatility of returns and the number of jumps in financial markets
Álvaro Cartea and Dimitrios Karyampas
| Year of publication: |
2016
|
|---|---|
| Authors: | Cartea, Álvaro ; Karyampas, Dimitrios |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 5/7, p. 929-950
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| Subject: | High-frequency data | Implied volatility | Jumps | Microstructure noise | VIX | Volatility forecasts | Volatilität | Volatility | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Prognose | Forecast | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.976529 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011590735