Jump frequency of different market indiecs for 2 different periods of times (2005 to 2010 and 2010 to 2015).</p
<p>The increase in the number of moves in 2013 compared to 2012 resulted from a decrease in the numb...
This paper examines continuous-time models for the S&P 100 index and its constituents. We find t...
It is well known that ¯nancial markets exhibit periods of high activity and low activity. In the pre...
"This paper extends the jump detection method based on bi-power variation to identify realized jumps...
This paper extends the jump detection method based on bi-power variation to identify realized jumps ...
Regional differences and temporal trend changes of digital financial inclusion indices and explanato...
<p>(a) Weekly stock price indices and returns of S&P 500 from 1980–2015. (b) Weekly stock price indi...
Variation in OTUs and Shannon diversity index from Time Period 1 to Time Period 2.</p
Comparison between extracted parameters of different indices between year 2010 and 2015.</p
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahal...
Jumps are large and fast price movements in asset prices, which cannot be explained by traditional B...
Comparison between extracted parameters of different indices between year 2005 and 2010.</p
Opening, lunch and closing of financial markets induce a periodic component in the volatility of hig...
The interannual variation of the annual average SSM in the TRB from 1961 to 2010.</p
In this paper, we examine whether jumps matter in both equity market returns and integrated volatili...
<p>The increase in the number of moves in 2013 compared to 2012 resulted from a decrease in the numb...
This paper examines continuous-time models for the S&P 100 index and its constituents. We find t...
It is well known that ¯nancial markets exhibit periods of high activity and low activity. In the pre...
"This paper extends the jump detection method based on bi-power variation to identify realized jumps...
This paper extends the jump detection method based on bi-power variation to identify realized jumps ...
Regional differences and temporal trend changes of digital financial inclusion indices and explanato...
<p>(a) Weekly stock price indices and returns of S&P 500 from 1980–2015. (b) Weekly stock price indi...
Variation in OTUs and Shannon diversity index from Time Period 1 to Time Period 2.</p
Comparison between extracted parameters of different indices between year 2010 and 2015.</p
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahal...
Jumps are large and fast price movements in asset prices, which cannot be explained by traditional B...
Comparison between extracted parameters of different indices between year 2005 and 2010.</p
Opening, lunch and closing of financial markets induce a periodic component in the volatility of hig...
The interannual variation of the annual average SSM in the TRB from 1961 to 2010.</p
In this paper, we examine whether jumps matter in both equity market returns and integrated volatili...
<p>The increase in the number of moves in 2013 compared to 2012 resulted from a decrease in the numb...
This paper examines continuous-time models for the S&P 100 index and its constituents. We find t...
It is well known that ¯nancial markets exhibit periods of high activity and low activity. In the pre...
DOI
Add to ORKG