Predicting intraday jumps in stock prices using liquidity measures and technical indicators-Reference-Cited by-同舟云学术

Predicting intraday jumps in stock prices using liquidity measures and technical indicators

Published:2020-08-24 Issue:3 Volume:40 Page:416-438
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Kong Ao¹^ORCID,Zhu Hongliang²,Azencott Robert³

Affiliation:

1. School of Finance Nanjing University of Finance and Economics Nanjing 210023 China

2. School of Management and Engineering Nanjing University Nanjing 210023 China

3. Department of Mathematics University of Houston TX 77204 USA

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2721

Reference53 articles.

1. Testing for jumps in a discretely observed process

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. The distribution of realized stock return volatility

4. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

5. Jump-robust volatility estimation using nearest neighbor truncation

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