Mixed-scale jump regressions with bootstrap inference (Q1676389): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W2597751284 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized Beta: Persistence and Predictability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized kernels in practice: trades and quotes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory continuous time models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4370586 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping realized multivariate volatility measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization of processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quarticity and other functionals of volatility: efficient estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Do price and volatility jump together? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Auctions and Insider Trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing Statistical Hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump Regressions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference for Continuous Semimartingales Observed at High Frequency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jumps and betas: a new framework for disentangling and estimating systematic risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Realized Laplace Transform of Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Latest revision as of 16:53, 14 July 2024

scientific article
Language Label Description Also known as
English
Mixed-scale jump regressions with bootstrap inference
scientific article

    Statements

    Mixed-scale jump regressions with bootstrap inference (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    7 November 2017
    0 references
    bootstrap
    0 references
    high-frequency data
    0 references
    jumps
    0 references
    regression
    0 references
    semimartingale
    0 references
    specification test
    0 references
    stochastic volatility
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references