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~institution:"Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)"
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composantes de volatilité
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conditional jump intensity
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effets de levier
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filtre
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impact des nouvelles
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intensité conditionnelle des sauts
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jump size
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leverage effects
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Maheu, John M.
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McCurdy, Thomas H.
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
Tinbergen Instituut
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Department of Economics and Finance, College of Business and Economics
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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HAL
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Department of Economics and Finance, College of Business and Administration
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Department of Economics and Related Studies, University of York
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Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS), Facoltà di Economia
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Institute of Economic Research, Hitotsubashi University
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Institute of Economic Research, Kyoto University
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
Maheu, John M.
;
McCurdy, Thomas H.
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2003
, contemporaneous and lagged
leverage
effects
, the time-series dynamics of jump clustering, and the importance of modeling the dynamics …
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