Introduction model price jump detection method simulation study comparison on nyse stock prices conclusion
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
Opening, lunch and closing of financial markets induce a periodic component in the volatility of hig...
This paper applies recent non-parametric intraday jump detection procedures to investigate the prese...
Introduction model price jump detection method simulation study comparison on nyse stock prices conc...
We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in t...
Asset prices we observe in the financial markets combine two unobservable components: equilibrium pr...
Asymptotic properties of jump tests rely on the property that any jump occurs within a single time i...
We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-typ...
This paper considers spot variance path estimation from datasets of intraday high-frequency asset pr...
Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive ri...
We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in t...
The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existi...
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and...
We propose a new nonparametric test for detecting the presence of jumps in asset prices using discre...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
Opening, lunch and closing of financial markets induce a periodic component in the volatility of hig...
This paper applies recent non-parametric intraday jump detection procedures to investigate the prese...
Introduction model price jump detection method simulation study comparison on nyse stock prices conc...
We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in t...
Asset prices we observe in the financial markets combine two unobservable components: equilibrium pr...
Asymptotic properties of jump tests rely on the property that any jump occurs within a single time i...
We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-typ...
This paper considers spot variance path estimation from datasets of intraday high-frequency asset pr...
Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive ri...
We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in t...
The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existi...
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and...
We propose a new nonparametric test for detecting the presence of jumps in asset prices using discre...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
Opening, lunch and closing of financial markets induce a periodic component in the volatility of hig...
This paper applies recent non-parametric intraday jump detection procedures to investigate the prese...
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