Do price and volatility jump together? (Q990387)

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Do price and volatility jump together?
scientific article

    Statements

    title
    Do price and volatility jump together? (English)
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    author
    Jean Jacod
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    Viktor Todorov
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    publication date
    1 September 2010
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    zbMATH Keywords
    common jumps
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    tests
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    discrete sampling
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    volatility
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    high-frequency data
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    Identifiers

    DOI
    10.1214/09-AAP654
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    Mathematics Subject Classification ID
    62M05
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    62F12
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    62P05
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    65C05
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    60G48
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    zbMATH DE Number
    5776893
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    arXiv ID
    1010.4990
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