The drift burst hypothesis
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Publication:2116347
DOI10.1016/J.JECONOM.2020.11.004OpenAlexW3114559834MaRDI QIDQ2116347FDOQ2116347
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
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (7)
- Perpetual American options with asset-dependent discounting
- A GMM approach to estimate the roughness of stochastic volatility
- A study on asset price bubble dynamics: explosive trend or quadratic variation?
- Nonparametric spot volatility from options
- Drift burst test statistic in the presence of infinite variation jumps
- Detecting states of distress in financial markets: the case of the Italian sovereign debt
- An unbounded intensity model for point processes
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