Risk, jumps, and diversification (Q292155): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M05
@@ Property / Mathematics Subject Classification ID: 62M05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6592106
@@ Property / zbMATH DE Number: 6592106 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusions
@@ Property / zbMATH Keywords: jump-diffusions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stock returns
@@ Property / zbMATH Keywords: stock returns / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+diversification
@@ Property / zbMATH Keywords: diversification / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tests for jumps
@@ Property / zbMATH Keywords: tests for jumps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+cojumps
@@ Property / zbMATH Keywords: cojumps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-frequency data
@@ Property / zbMATH Keywords: high-frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bipower variation
@@ Property / zbMATH Keywords: bipower variation / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2121732987
@@ Property / OpenAlex ID: W2121732987 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Q3953035
@@ Property / cites work: Q3953035 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation
+Normal rank
@@ Property / cites work @@
+Testing for common arrivals of jumps for discretely observed multidimensional processes
+Normal rank
@@ Property / cites work @@
+Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:292155