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Search: subject:"jump test"
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jump test
8
Time series analysis
7
Volatility
7
Volatilität
7
Zeitreihenanalyse
7
Estimation
6
Schätzung
6
Forecasting model
5
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5
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4
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4
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4
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Börsenkurs
3
Share price
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Statistical test
3
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3
forecasting
3
jump power variations
3
jumps
3
realized volatility
3
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2
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2
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anchoring of inflation expectations
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break-even inflation
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fixed time span
2
high-frequency data
2
jump intensity
2
long time span
2
pre-averaging
2
sequential testing bias
2
ABD-LM jump test
1
Aktienmarkt
1
Asymptotic robustness of Jump-Test
1
Carbon asset price
1
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Swanson, Norman R.
5
Duong, Diep
4
Ma, Feng
3
Cheng, Mingmian
2
Winkelmann, Lars
2
Yao, Wenying
2
Bjursell, Johan
1
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1
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ECONIS (ZBW)
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1
Cojump anchoring
Winkelmann, Lars
;
Yao, Wenying
-
2020
-Mykland
jump
test
for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second …
Persistent link: https://www.econbiz.de/10012305586
Saved in:
2
Cojump anchoring
Winkelmann, Lars
;
Yao, Wenying
-
2020
-Mykland
jump
test
for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second …
Persistent link: https://www.econbiz.de/10012305061
Saved in:
3
An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei
;
Liao, Yin
;
Lu, Xinjie
;
Ma, Feng
- In:
Energy economics
116
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
Saved in:
4
A novel method of detecting carbon asset price jump characteristics based on significant information shocks
Pan, Di
;
Zhang, Chen
;
Zhu, Dandan
;
Ji, Yuanpu
;
Cao, Wei
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013459127
Saved in:
5
Fixed and long time span jump tests: New Monte Carlo and empirical evidence
Cheng, Mingmian
;
Swanson, Norman R.
- In:
Econometrics
7
(
2019
)
1
,
pp. 1-32
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data...
Persistent link: https://www.econbiz.de/10012696228
Saved in:
6
Fixed and long time span jump tests : new Monte Carlo and empirical evidence
Cheng, Mingmian
;
Swanson, Norman R.
- In:
Econometrics : open access journal
7
(
2019
)
1/13
,
pp. 1-32
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...
Persistent link: https://www.econbiz.de/10012025640
Saved in:
7
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
-
2013
Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...
Persistent link: https://www.econbiz.de/10010334248
Saved in:
8
Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto
;
Kurisu, Daisuke
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 39-73
Persistent link: https://www.econbiz.de/10011742284
Saved in:
9
Forecasting the realized volatility : the role of jumps
Liu, Zhichao
;
Ma, Feng
;
Wang, Xunxiao
;
Xia, Zean
- In:
Applied economics letters
23
(
2016
)
10/12
,
pp. 736-739
Persistent link: https://www.econbiz.de/10011628475
Saved in:
10
Forecasting the realized volatility in the Chinese stock market : further evidence
Pu, Wang
;
Chen, Yixiang
;
Ma, Feng
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 3116-3130
Persistent link: https://www.econbiz.de/10011616957
Saved in:
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