Testing for jumps in noisy high frequency data (Q527932): Difference between revisions
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| Property / author | |||
| Property / author: Jia Li / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6714696 / rank | |||
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semimartingale | |||
| Property / zbMATH Keywords: semimartingale / rank | |||
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testing for jumps | |||
| Property / zbMATH Keywords: testing for jumps / rank | |||
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high frequency data | |||
| Property / zbMATH Keywords: high frequency data / rank | |||
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market microstructure noise | |||
| Property / zbMATH Keywords: market microstructure noise / rank | |||
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pre-averaging | |||
| Property / zbMATH Keywords: pre-averaging / rank | |||
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Revision as of 08:06, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for jumps in noisy high frequency data |
scientific article |
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Testing for jumps in noisy high frequency data (English)
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12 May 2017
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semimartingale
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testing for jumps
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high frequency data
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market microstructure noise
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pre-averaging
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