Testing whether jumps have finite or infinite activity
Author:
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://projecteuclid.org/download/pdfview_1/euclid.aos/1311600280
Cited by 69 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Testing for jumps with robust spot volatility estimators;Statistica Neerlandica;2023-05-24
2. Identifying latent factors based on high-frequency data;Journal of Econometrics;2023-03
3. The contribution of jump signs and activity to forecasting stock price volatility;Journal of Empirical Finance;2023-01
4. Impact of network investor sentiment and news arrival on jumps;The North American Journal of Economics and Finance;2022-11
5. A Consistent and Robust Test for Autocorrelated Jump Occurrences;Journal of Financial Econometrics;2022-08-29
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