Jumps at ultra-high frequency : evidence from the Chinese stock market
Chuanhai Zhang, Zhi Liu, Qiang Liu
| Year of publication: |
2021
|
|---|---|
| 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
|
| Subject: | Jumps | Market microstructure noise | Pre-averaging | Truncated bi-power variation | Ultra high frequency data | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Aktienmarkt | Stock market | China | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Noise Trading | Noise trading | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2020.101420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013332776