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~subject:"Microstructure noise"
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Search: subject:"Idiosyncratic jumps"
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Microstructure noise
Idiosyncratic jumps
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Liu, Junwei
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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Wang, Kent
;
Liu, Junwei
;
Liu, Zhi
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1777-1786
Persistent link: https://www.econbiz.de/10009729461
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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Wang, Kent
;
Liu, Junwei
;
Liu, Zhi
- In:
Journal of Banking & Finance
37
(
2013
)
5
,
pp. 1777-1786
estimation and common jumps mostly dominate the jump’s effect, but there is also evidence that
idiosyncratic
jumps
may lead to …
Persistent link: https://www.econbiz.de/10010662588
Saved in:
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