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  • Search: subject:"Jump Detection"
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Year of publication
Subject
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Jump detection 14 jump detection 11 Volatility 9 Volatilität 9 Theorie 7 Theory 7 Börsenkurs 6 Share price 6 Time series analysis 6 Zeitreihenanalyse 6 ARCH model 5 ARCH-Modell 5 Financial market 4 Finanzmarkt 4 Realized volatility 4 Stochastic process 4 Stochastischer Prozess 4 Capital income 3 Estimation 3 Exchange rate 3 Hawkes processes 3 Kapitaleinkommen 3 Schätzung 3 Volatility estimation 3 Wechselkurs 3 microstructure noise 3 Aktienindex 2 Aktienmarkt 2 Ankündigungseffekt 2 Announcement effect 2 Bipower Variation 2 Bond market 2 Devisenmarkt 2 Financial markets 2 Finite-Activity Counting Processes 2 Foreign exchange market 2 Forex market 2 High frequency financial data 2 India 2 Indien 2
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Online availability
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Free 17 Undetermined 11
Type of publication
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Book / Working Paper 16 Article 14
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 8 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 22 Undetermined 8
Author
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Pirino, Davide 5 Corsi, Fulvio 4 Winkelmann, Lars 4 Lillo, Fabrizio 3 Pelizzon, Loriana 3 Schneider, Michael 3 Bibinger, Markus 2 Christensen, Kim 2 El Ouadghiri, Imane 2 Mehrotra, Pulkit 2 Podolskij, Mark 2 Renò, Roberto 2 Sen, Rituparna 2 Uctum, Remzi 2 Andor, György 1 Bohák, András 1 Boudt, Kris 1 Bradley, Daniel 1 Chen, Jing 1 Chen, Yi-Ting 1 Clarke, Jonathan E. 1 Croux, Christophe 1 Dette, Holger 1 Einmahl, John 1 Figueroa-López, José E. 1 Gantner, M. 1 Golosnoy, Vasyl 1 Hawkes, Alan 1 Ishida, Isao 1 Kellermann, Janosch 1 Khashanah, Khaldoun 1 Lai, Wan Ni 1 Laurent, Sébastien 1 Lee, Suzanne 1 Li, Handong 1 Lupu, Radu 1 Nisen, Jeffrey 1 Nunes, Joaõ Pedro Vidal 1 Ornthanalai, Chayawat 1 Reno', Roberto 1
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Institution
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HAL 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute of Economic Research, Hitotsubashi University 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 Tilburg University, Center for Economic Research 1
Published in...
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Finance research letters 2 Post-Print / HAL 2 Quantitative finance 2 SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 Computational economics 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 1 Document de travail 1 Economic modelling 1 Global COE Hi-Stat Discussion Paper Series 1 Journal for Economic Forecasting 1 Journal of empirical finance 1 Journal of investment management : JOIM 1 Journal of quantitative economics 1 Journal of quantitative economics : official journal of the Indian Econometric Society 1 LEM Papers Series 1 LEM Working Paper Series 1 Physica A: Statistical Mechanics and its Applications 1 SAFE Working Paper 1 SAFE working paper 1 Stochastic Processes and their Applications 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 14 RePEc 11 EconStor 5
Showing 11 - 20 of 30
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Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus; Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo-semimartingale, is estimated with a locally adaptive...
Persistent link: https://www.econbiz.de/10011277288
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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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Identifying events in financial time series : a new approach with bipower variation
Andor, György; Bohák, András - In: Finance research letters 22 (2017), pp. 42-48
Persistent link: https://www.econbiz.de/10011807956
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The information content of analysts' recommendations revisited
Bradley, Daniel; Clarke, Jonathan E.; Lee, Suzanne; … - In: Journal of investment management : JOIM 14 (2016) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10011691264
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Modeling jumps and volatility of the indian stock market using high-frequency data
Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012418200
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The effect of intraday periodicity on realized volatility measures
Dette, Holger; Golosnoy, Vasyl; Kellermann, Janosch - 2016
Persistent link: https://www.econbiz.de/10012388669
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Modeling jumps and volatility of the Indian stock market using high-frequency data
Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10011639870
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Reno, Roberto - 2010
continuous quadratic variation in finite samples. We further provide a new test for jump detection which has substantially more …
Persistent link: https://www.econbiz.de/10010328432
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