Detecting jumps amidst prevalent zero returns : evidence from the U.S. Treasury securities
Year of publication: |
2023
|
---|---|
Authors: | Han, Seung-Oh ; Huh, Sahn-Wook ; Park, Jeayoung |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 276-307
|
Subject: | Combined jump-identification methods | Discrete price grids | Jump identifications | Macro-economic news announcements | Monte Carlo simulations | Proportions of zero returns | Trade execution | U.S. Treasury notes | USA | United States | Staatspapier | Government securities | Monte-Carlo-Simulation | Monte Carlo simulation | Ankündigungseffekt | Announcement effect | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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