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Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of econometrics 168 (2012) 2, pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10013147293
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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2009
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as...
Persistent link: https://www.econbiz.de/10013155857
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Analyzing the spectrum of asset returns : jump and volatility components in high frequency data
Aït-Sahalia, Yacine; Jacod, Jean - 2010
Persistent link: https://www.econbiz.de/10003951823
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Analyzing the spectrum of asset returns: jump and volatility components in high frequency data
Aït-Sahalia, Yacine; Jacod, Jean - In: Journal of economic literature 50 (2012) 4, pp. 1007-1050
Persistent link: https://www.econbiz.de/10009696498
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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10012462842
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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013326614
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Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
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Volatility and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - 2016
Persistent link: https://www.econbiz.de/10011524097