Search Results - subject:"jump tests"

Do price jumps matter in volatility forecasts of US treasury futures?

Zhang, Xueer; Hung, Jui-Cheng; Chiu, Chien-Liang - 2025

Persistent link: https://www.econbiz.de/10015376629

Co-jumps, co-jump tests, and volatility forecasting: Monte Carlo and empirical evidence

Peng, Weijia; Yao, Chun - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-21

four co-jump tests. The findings indicate that the BLT test and the co-exceedance rule of the LM test outperform other …

Persistent link: https://www.econbiz.de/10014332535

Co-jumps, co-jump tests, and volatility forecasting : Monte Carlo and empirical evidence

Peng, Weijia; Yao, Chun - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-21

four co-jump tests. The findings indicate that the BLT test and the co-exceedance rule of the LM test outperform other …

Persistent link: https://www.econbiz.de/10013375217

Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model

Wu, Hanlin; Li, Pan; Cao, Jiawei; Xu, Zijian - In: Energy economics 134 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015047129

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018

Persistent link: https://www.econbiz.de/10012583570

Dynamic asset price jumps and the performance of high frequency tests and measures

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017

Persistent link: https://www.econbiz.de/10011782238

Jumps and Information Asymmetry in the US Treasury Market

Dumitru, Ana-Maria; Urga, Giovanni - 2016

This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational asymmetry. We identify jumps using a combination of jump...

Persistent link: https://www.econbiz.de/10011446868

Jumps and information asymmetry in the US treasury market

Dumitru, Ana-Maria H.; Urga, Giovanni - 2016

Persistent link: https://www.econbiz.de/10011452862

Analysis of high frequency data in finance: a survey

Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10012670616

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