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  • Search: subject:"infinite jumps"
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Year of publication
Subject
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Börsenkurs 2 Option pricing theory 2 Optionspreistheorie 2 Share price 2 Stochastic process 2 Stochastischer Prozess 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 ARCH model 1 ARCH-Modell 1 Brownian motion 1 Finite Jumps 1 Forecasting model 1 High-frequency data 1 Infinite Jumps 1 Market microstructure 1 Marktmikrostruktur 1 Model Averaging 1 Nichtparametrisches Verfahren 1 Noise Trading 1 Noise trading 1 Noise-Robust Volatility 1 Nonparametric statistics 1 Prognoseverfahren 1 Realized Volatility 1 Signed Jumps 1 Volatility Forecasts 1 finite jumps 1 infinite jumps 1 microstructure noise 1 price staleness 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 2
Author
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Hizmeri, Rodrigo 2 Izzeldin, Marwan 2 Murphy, Anthony 1 Tsionas, Efthymios G. 1 Urga, Giovanni 1
Published in...
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CEA_372Bayes working paper series 1 FRB of Dallas Working Paper 1 Working paper / Federal Reserve Bank of Dallas, Research Department 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de/10015191535
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The contribution of jump signs and activity to forecasting stock price volatility
Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, Anthony; … - 2019
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in … threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better real …
Persistent link: https://www.econbiz.de/10012030057
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