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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

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750

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

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

Local Whittle analysis of stationary unbalanced fractional cointegration systems

Dubois, Florent; Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019 - Preliminary draft

Persistent link: https://www.econbiz.de/10012242004

Variance reduction estimation for return models with jumps using gamma asymmetric kernels

Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012198377

Testing for jumps based on high-frequency data : a method exploiting microstructure noise

Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809

Persistent link: https://www.econbiz.de/10012313515

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370