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  • Search: subject:"volatility jumps"
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Year of publication
Subject
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Volatility 12 Volatilität 12 volatility jumps 11 Estimation 8 Schätzung 8 Stochastic process 8 Stochastischer Prozess 8 Börsenkurs 7 Share price 7 Bayesian Markov chain Monte Carlo 6 Hawkes process 5 Markov chain 5 Markov-Kette 5 Monte Carlo simulation 5 Monte-Carlo-Simulation 5 Nonlinear state space model 5 Stochastic volatility 5 Theorie 5 Theory 5 Volatility jumps 5 high-frequency data 5 Bayes-Statistik 4 Bayesian inference 4 Dynamic price and volatility jumps 4 Financial crisis 4 Finanzkrise 4 Nichtparametrisches Verfahren 4 Nonparametric statistics 4 Capital income 3 Estimation theory 3 Financial market 3 Finanzmarkt 3 Global financial crisis 3 Kapitaleinkommen 3 Option pricing theory 3 Optionspreistheorie 3 Schätztheorie 3 State space model 3 Time series analysis 3 Zeitreihenanalyse 3
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Online availability
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Free 25
Type of publication
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Book / Working Paper 22 Article 3
Type of publication (narrower categories)
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Working Paper 12 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 16 Undetermined 8 French 1
Author
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Maneesoonthorn, Worapree 7 Martin, Gael M. 7 Bibinger, Markus 5 Forbes, Catherine Scipione 5 Jirak, Moritz 3 Vetter, Mathias 3 Caporale, Guglielmo Maria 2 Constantinides, George M. 2 Dutta, Anupam 2 Forbes, Catherine S. 2 Jackwerth, Jens Carsten 2 Kang, Woo-Young 2 Savov, Alexi 2 Spagnolo, Fabio 2 Spagnolo, Nicola 2 Vortelinos, Dimitrios 2 Winkelmann, Lars 2 Caporin, Massimiliano 1 Christoffersen, Peter 1 Das, Debojyoti 1 Ghosh, Sajal 1 Grynkiv, Iaryna 1 Jacob, Joshy 1 Jacobs, Kris 1 Kanjilal, Kakali 1 Li, Leon 1 Magistris, Paolo Santucci de 1 Ornthanalai, Chayawat 1 Park, Donghyun 1 Rossi, Eduardo 1 Srivastava, Pranjal 1 Tauchen, George 1 Thomakos, Dimitrios 1 Todorov, Viktor 1 Uddin, Mohammed Gazi Salah 1
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics, University of Peloponnese 2 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Duke University, Department of Economics 1 School of Economics and Management, University of Aarhus 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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Working paper / Department of Econometrics and Business Statistics, Monash University 5 Monash Econometrics and Business Statistics Working Papers 2 SFB 649 Discussion Paper 2 SFB 649 discussion paper 2 The journal of futures markets 2 Working Paper Series of the Department of Economics, University of Konstanz 2 Working Papers / Department of Economics, University of Peloponnese 2 Applied economics 1 CESifo Working Paper 1 CESifo working papers 1 CIRANO Working Papers 1 CREATES Research Papers 1 SFB 649 Discussion Papers 1 Working Papers / Duke University, Department of Economics 1 Working paper / Indian Institute of Management, Ahmedabad 1
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Source
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ECONIS (ZBW) 12 RePEc 10 EconStor 3
Showing 1 - 10 of 25
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The risks of trading on cryptocurrencies : a regime-switching approach based on volatility jumps and co-jumping behaviours
Li, Leon - In: Applied economics 56 (2024) 7, pp. 779-795
Persistent link: https://www.econbiz.de/10014440127
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Impact of crude oil volatility jumps on sustainable investments : evidence from India
Dutta, Anupam; Kanjilal, Kakali; Ghosh, Sajal; Park, … - In: The journal of futures markets 43 (2023) 10, pp. 1450-1468
Persistent link: https://www.econbiz.de/10014339454
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Arbitrage constraints and behaviour of volatility components : evidence from a natural experiment
Srivastava, Pranjal; Jacob, Joshy - 2022
Persistent link: https://www.econbiz.de/10013462142
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Cyber-Attacks and Cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates...
Persistent link: https://www.econbiz.de/10012207889
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Cyber-attacks and cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates...
Persistent link: https://www.econbiz.de/10012171767
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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
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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
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2016 - Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015
extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …
Persistent link: https://www.econbiz.de/10010491452
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