Mixed-scale jump regressions with bootstrap inference
From MaRDI portal
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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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
Cites Work
- Unnamed Item
- Quarticity and other functionals of volatility: efficient estimation
- Bootstrapping realized multivariate volatility measures
- Discretization of processes.
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Do price and volatility jump together?
- Long memory continuous time models
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- The Realized Laplace Transform of Volatility
- Volatility Jumps
- Realized Beta: Persistence and Predictability
- Bootstrapping Realized Volatility
- Inference for Continuous Semimartingales Observed at High Frequency
- Realized kernels in practice: trades and quotes
- Continuous Auctions and Insider Trading
- Jump Regressions
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Option pricing when underlying stock returns are discontinuous
- Testing Statistical Hypotheses
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A Tale of Two Time Scales
This page was built for publication: Mixed-scale jump regressions with bootstrap inference
