Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Year of publication: |
2009-12-04
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Authors: | Bos, Charles S. ; Janus, Pawel ; Koopman, Siem Jan |
Institutions: | Tinbergen Institute |
Subject: | high frequency | intraday periodicity | jump testing | leverage effect | microstructure noise | pre-averaged bipower variation | spot variance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 09-110/4 |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S., (2009)
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S., (2009)
-
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S., (2009)
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Long Memory Dynamics for Multivariate Dependence under Heavy Tails
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan, (2002)
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Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Bos, Charles S., (2010)
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