The profitability of trading on large Lévy jumps-Reference-Cited by-同舟云学术

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The profitability of trading on large Lévy jumps

Published:2019-07-17 Issue:2 Volume:21 Page:627-635
ISSN:1369-412X
Container-title:International Review of Finance
language:en
Short-container-title:International Review of Finance

Author:

Chan Kam Fong¹,Gray Phil²^ORCID,Pan Zheyao³

Affiliation:

1. UWA Business School The University of Western Australia Perth Western Australia Australia

2. Department of Banking and Finance, Monash Business School Monash University Clayton Victoria Australia

3. Department of Applied Finance, Macquarie Business School Macquarie University Sydney New South Wales Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12279

Reference33 articles.

1. Disentangling diffusion from jumps

2. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

4. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

5. Empirical Performance of Alternative Option Pricing Models

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1. Detecting anomalous WM/reuters fixes using Trailing Contextual Anomaly Detection;International Review of Economics & Finance;2024-11

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