Mixed-scale jump regressions with bootstrap inference
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Publication:1676389
DOI10.1016/j.jeconom.2017.08.017zbMath1377.62198OpenAlexW2597751284MaRDI QIDQ1676389
Rui Chen, Jia Li, George Tauchen, Viktor Todorov
Publication date: 7 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2573
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Related Items (4)
Testing for mutually exciting jumps and financial flights in high frequency data ⋮ Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ Editors' introduction
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