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Search: subject:"signed jump variation"
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cross-sectional stock returns
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forecasting
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high-frequency data
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integrated volatility
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realized skewness
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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:
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