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Search: subject:"Signed jump variation"
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New evidence of the marginal predictive content of small and large jumps in the cross-section
Yu, Bo
;
Mizrach, Bruce Marshall
;
Swanson, Norman R.
- In:
Econometrics
8
(
2020
)
2
,
pp. 1-52
downside jump variation. One reason large and small (
signed
)
jump
variation
have differing marginal predictive contents is that …
Persistent link: https://www.econbiz.de/10012696282
Saved in:
2
New evidence of the marginal predictive content of small and large jumps in the cross-section
Yu, Bo
;
Mizrach, Bruce Marshall
;
Swanson, Norman R.
- In:
Econometrics : open access journal
8
(
2020
)
2/19
,
pp. 1-52
downside jump variation. One reason large and small (
signed
)
jump
variation
have differing marginal predictive contents is that …
Persistent link: https://www.econbiz.de/10012265498
Saved in:
3
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
4
Forecasting the realized volatility in the Chinese stock market : further evidence
Pu, Wang
;
Chen, Yixiang
;
Ma, Feng
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 3116-3130
Persistent link: https://www.econbiz.de/10011616957
Saved in:
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