Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics-Reference-Cited by-同舟云学术

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

Published:2007-12-09 Issue:6 Volume:21 Page:2535-2563
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Lee Suzanne S.,Mykland Per A.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/21/6/2535/6037190/hhm056.pdf

Reference43 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Disentangling diffusion from jumps

3. Aït-Sahalia Y. Jacod J. Fisher's Information for Discretely Sampled Levy Processes. 2005. Working Paper, Department of Economics, Princeton University.

4. Aldous D. Probability Approximations via the Poisson Clumping Heuristic. New York: Springer-Verlag; 1989.

5. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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