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Search: subject:"Idiosyncratic jumps"
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Idiosyncratic jumps
4
Volatility
4
Volatilität
4
Capital income
2
Co-jump
2
Co-volatility
2
Estimation
2
High-frequency finance
2
Kapitaleinkommen
2
Microstructure noise
2
Non-synchronous trading
2
Portfolio selection
2
Portfolio-Management
2
Schätzung
2
Theorie
2
Theory
2
ARCH model
1
ARCH-Modell
1
Aktienmarkt
1
Arbitrage
1
Asset allocation
1
Bias
1
Börsenkurs
1
Commodity derivative
1
Derivat
1
Derivative
1
Diversification
1
Diversifikation
1
Foreign portfolio investment
1
Home bias
1
Idiosyncratic risk
1
International financial market
1
International portfolio diversification
1
Internationaler Finanzmarkt
1
Ito semi-martingale
1
Itô semi-martingale
1
Jump news
1
Limits to arbitrage
1
Market microstructure
1
Markov chain
1
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English
4
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Liu, Junwei
2
Liu, Zhi
2
Wang, Kent
2
Chang, Kuang-Liang
1
Chen, Mark Ke
1
Hyde, Stuart
1
Kapadia, Nishad
1
Lee, Chingnun
1
Poon, Ser-Huang
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Vitiello, Luiz
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Zekhnini, Morad
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International review of economics & finance : IREF
1
Journal of Banking & Finance
1
Journal of banking & finance
1
Journal of financial economics
1
Journal of international money and finance
1
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ECONIS (ZBW)
4
RePEc
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1
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
2
Do
idiosyncratic
jumps
matter?
Kapadia, Nishad
;
Zekhnini, Morad
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 666-692
Persistent link: https://www.econbiz.de/10012133035
Saved in:
3
The reality of stock market jumps diversification
Chen, Mark Ke
;
Vitiello, Luiz
;
Hyde, Stuart
;
Poon, Ser-Huang
- In:
Journal of international money and finance
86
(
2018
),
pp. 171-188
Persistent link: https://www.econbiz.de/10012000491
Saved in:
4
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
Saved in:
5
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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