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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 173-222
Persistent link: https://www.econbiz.de/10011987413
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The behaviour of stock returns under price limits, a truncated time series approach
Errais, Eymen; Albacha, Jawhar - In: American journal of finance and accounting 6 (2021) 3/4, pp. 223-251
Persistent link: https://www.econbiz.de/10012610836
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Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667
Persistent link: https://www.econbiz.de/10012016532
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Contagion between asset markets : a two market heterogeneous agents model with destabilising spillover effects
Hommes, Cars H.; Vroegop, Joris - In: Journal of economic dynamics & control 100 (2019), pp. 314-333
Persistent link: https://www.econbiz.de/10012130975
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor - 2021
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10013224117
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G. - 2019
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10012480274
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Cross-sectional dispersion of risk in trading time
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2019
Persistent link: https://www.econbiz.de/10012124980
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147