Jumps at ultra-high frequency : evidence from the Chinese stock market
Year of publication: |
2021
|
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Authors: | Zhang, Chuanhai ; Liu, Zhi ; Liu, Qiang |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 68.2021, p. 1-21
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Subject: | Jumps | Market microstructure noise | Pre-averaging | Truncated bi-power variation | Ultra high frequency data | Marktmikrostruktur | Market microstructure | China | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
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