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~subject:"Induktive Statistik"
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Induktive Statistik
Börsenkurs
3
Capital income
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Kapitaleinkommen
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Share price
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Electricity Forward Contract
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High-Frequency Data
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Price Jumps
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Realized Variance
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Theory
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Zero-Returns
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idle time
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liquidity
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stable convergence
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staleness
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zero returns
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Ankündigungseffekt
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Announcement effect
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Average staleness
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Bipower variation
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Combined jump-identification methods
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Discrete price grids
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Electricity forward contract
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Government securities
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High frequency data
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Infrequent trading
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Instantaneous price staleness
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Jump identifications
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Liquidity
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Macro-economic news announcements
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Monte Carlo simulation
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Monte Carlo simulations
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Kolokolov, Aleksey
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Livieri, Giulia
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Pirino, Davide
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Journal of econometrics
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Statistical inferences for price staleness
Kolokolov, Aleksey
;
Livieri, Giulia
;
Pirino, Davide
-
2018
frequently lack new updates showing
zero
returns
. In this paper, we propose a theoretical framework for formalizing this …
Persistent link: https://www.econbiz.de/10011927635
Saved in:
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Statistical inferences for price staleness
Kolokolov, Aleksey
;
Livieri, Giulia
;
Pirino, Davide
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 32-81
Persistent link: https://www.econbiz.de/10012482896
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