The drift burst hypothesis

DOI10.1016/J.JECONOM.2020.11.004MaRDI QIDQ2116347zbMATH OpenOpenAlexFDO

Authors Kim Christensen, Roberto Renò, Roel C. A. Oomen

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.11.004

zbMATH Keywords

microstructure noisenonparametric statisticsliquidityflash crashesgradual jumpsvolatility bursts

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(7)

• Detecting states of distress in financial markets: the case of the Italian sovereign debt
• A GMM approach to estimate the roughness of stochastic volatility
• Perpetual American options with asset-dependent discounting
• Drift burst test statistic in the presence of infinite variation jumps
• Nonparametric spot volatility from options
• An unbounded intensity model for point processes
• A study on asset price bubble dynamics: explosive trend or quadratic variation?

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