Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10010195693
Persistent link: https://www.econbiz.de/10003914217
Persistent link: https://www.econbiz.de/10011721051
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely sampled jump-diffusion process are available. The test is...
Persistent link: https://www.econbiz.de/10012935591
Persistent link: https://www.econbiz.de/10012110287
Persistent link: https://www.econbiz.de/10011946254
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10013115490
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10009308298
Persistent link: https://www.econbiz.de/10010233604
Persistent link: https://www.econbiz.de/10009615658