Testing for non-correlation between price and volatility jumps (Q515135)
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scientific article; zbMATH DE number 6693810
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| English | Testing for non-correlation between price and volatility jumps |
scientific article; zbMATH DE number 6693810 |
Statements
Testing for non-correlation between price and volatility jumps (English)
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10 March 2017
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common jumps
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discrete sampling
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high-frequency data
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Itô semimartingale
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statistical test
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stochastic volatility model
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0.88274693
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0.8503984
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0.83805233
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0.8309074
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0.83004254
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