Mixed-scale jump regressions with bootstrap inference
Jia Li, Viktor Todorov, George Tauchen, Rui Chen
| Year of publication: |
December 2017
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|---|---|
| Authors: | Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene ; Chen, Rui |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 2, p. 417-432
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| Subject: | Bootstrap | High-frequency data | Jumps | Regression | Semimartingale | Specification test | Stochastic volatility | Bootstrap-Verfahren | Bootstrap approach | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Martingal | Martingale | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.08.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011920538