The relationship between the volatility of returns and the number of jumps in financial markets (Q5863642)
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scientific article; zbMATH DE number 7536143
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| English | The relationship between the volatility of returns and the number of jumps in financial markets |
scientific article; zbMATH DE number 7536143 |
Statements
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (English)
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3 June 2022
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high-frequency data
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implied volatility
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jumps
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microstructure noise
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VIX
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volatility forecasts
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0.7832204699516296
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0.7636683583259583
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0.7609641551971436
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