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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

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

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

A new unbiased additive robust volatility estimation using extreme values of asset prices

Shaik, Muneer; Maheswaran, S. - In: Financial markets and portfolio management 34 (2020) 3, pp. 313-347

Persistent link: https://www.econbiz.de/10012289673

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Disentangling continuous volatility from jumps in long-run risk-return relationships

Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583

Persistent link: https://www.econbiz.de/10010391947

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics letters 120 (2013) 2, pp. 224-228

Persistent link: https://www.econbiz.de/10010128339

Jump volatility estimates of high frequency data and analysis based on HHT

Chen, Jiangrui; Yin, Lianqian; Hou, Sizhe; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 11, pp. 242-249

Persistent link: https://www.econbiz.de/10011401479

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

Predicting stock return volatility : can we benefit from regression models for return intervals?

Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146

Persistent link: https://www.econbiz.de/10011580244