Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Year of publication: |
2020
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Authors: | Liu, Guangying ; Xiang, Jing ; Cang, Yuquan |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 11, p. 1795-1809
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Subject: | Edgeworth expansion | High-frequency data | Microstructure noise | Price jumps | Testing for jumps | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Noise Trading | Noise trading | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Statistischer Test | Statistical test | Stochastischer Prozess | Stochastic process |
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