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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

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

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

Persistent link: https://www.econbiz.de/10011823308

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

On high frequency estimation of the frictionless price : the use of observed liquidity variables

Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143

Persistent link: https://www.econbiz.de/10011917437

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

, the discrepancy in the factor loadings is due to a measurement error, which shrinks with the increase of the sampling …

Persistent link: https://www.econbiz.de/10012042424

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

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

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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