Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M07 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6592765 / rank | |||
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swap variance | |||
| Property / zbMATH Keywords: swap variance / rank | |||
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jumps | |||
| Property / zbMATH Keywords: jumps / rank | |||
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bi-power variation | |||
| Property / zbMATH Keywords: bi-power variation / rank | |||
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market microstructure noise | |||
| Property / zbMATH Keywords: market microstructure noise / rank | |||
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Revision as of 21:44, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach |
scientific article |
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Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (English)
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13 June 2016
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swap variance
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jumps
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bi-power variation
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market microstructure noise
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