Common price and volatility jumps in noisy high-frequency data
From MaRDI portal
Publication:1657876
DOI10.1214/18-EJS1444zbMath1398.62281MaRDI QIDQ1657876
Markus Bibinger, Lars Winkelmann
Publication date: 14 August 2018
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1529308886
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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