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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2016 - Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017
Persistent link: https://www.econbiz.de/10011782238
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013
Persistent link: https://www.econbiz.de/10010245443