Assessing jump and cojumps in financial asset returns with applications in futures markets
Jin-Huei Yeh, Mu-Shu Yun
| Year of publication: |
2023
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|---|---|
| Authors: | Yeh, Jin-huei ; Yun, Mu Shu |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 82.2023, p. 1-19
|
| Subject: | Cojump | Extreme tail | Jumps | Realized power variation | Tail dependence | Kapitaleinkommen | Capital income | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2023.102157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463584