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We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...
Persistent link: https://www.econbiz.de/10013071459
We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...
Persistent link: https://www.econbiz.de/10013078483