Effects of jumps and small noise in high-frequency financial econometrics
Year of publication: |
March 2017
|
---|---|
Authors: | Kunitomo, Naoto ; Kurisu, Daisuke |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 24.2017, 1, p. 39-73
|
Subject: | High-frequency financial data | Continuous-time processes | Jumps | Micro-market noise | Small-noise asymptotics | Asymptotic robustness of Jump-Test | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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