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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011823308
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Martingale property of exchange rates and central bank interventions
Yılmaz, Kamil - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 383-395
Persistent link: https://www.econbiz.de/10001785814
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Martingale Property of Exchange Rates and Central Bank Interventions
Yılmaz, Kamil - 2001
for martingale property of daily exchange rates of seven major currencies vis-a-vis US dollar. To allow for the … exchange rates do not always follow the martingale process. The results show that during the times of coordinated central bank … intervention exchange rates deviate from martingale property …
Persistent link: https://www.econbiz.de/10014126368
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Testing the continuous semimartingale hypothesis for the S&P 500
Peters, Remco T.; Vilder, Robin G. de - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 444-454
Persistent link: https://www.econbiz.de/10003385164
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734