The Gumbel test and jumps in the volatility process (Q300783)
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scientific article; zbMATH DE number 6599245
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The Gumbel test and jumps in the volatility process |
scientific article; zbMATH DE number 6599245 |
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The Gumbel test and jumps in the volatility process (English)
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29 June 2016
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jump test
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stochastic volatility model
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volatility process with jumps
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Gumbel distribution
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extreme value theory
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high-frequency data
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0.9186432957649232
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0.8006288409233093
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0.7830630540847778
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0.7817711234092712
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0.7748849391937256
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