The relationship between the volatility of returns and the number of jumps in financial markets
Year of publication: |
2016
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Authors: | Cartea, Álvaro ; Karyampas, Dimitrios |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 5/7, p. 929-950
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Subject: | High-frequency data | Implied volatility | Jumps | Microstructure noise | VIX | Volatility forecasts | Volatilität | Volatility | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Prognose | Forecast | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading |
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