The identification of price jumps

DOI10.1515/mcma-2011-0019zbMath1237.91230OpenAlexW3125208405MaRDI QIDQ2882552

Evžen Kočenda, Jan Novotný, Jan Hanousek

Publication date: 7 May 2012

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://www.nusl.cz/ntk/nusl-81251

zbMATH Keywords

Monte Carlo simulationsfinancial econometricsnon-parametric testingprice jumpsprice-jump indicators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (1)

Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange

Cites Work

• Risk, jumps, and diversification
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Estimating the degree of activity of jumps in high frequency data
• Testing for jumps in a discretely observed process
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Random walks, liquidity molasses and critical response in financial markets
• Testing of (non-nested) choice models via accuracy of predition: a non-parametric approach.

This page was built for publication: The identification of price jumps