Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
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Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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Cites work
- scientific article; zbMATH DE number 53571 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
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Cited in
(50)- Measuring the relevance of the microstructure noise in financial data
- Modelling systemic price cojumps with Hawkes factor models
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Jumps or Staleness?
- Testing for jumps in the presence of market microstructure noise
- Lack of fit test for infinite variation jumps at high frequencies
- Cojumps and asset allocation in international equity markets
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Common price and volatility jumps in noisy high-frequency data
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Testing whether jumps have finite or infinite activity
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Second-order properties of thresholded realized power variations of FJA additive processes
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- The term structure of equity and variance risk premia
- Detection of jumps in financial market
- Identifying jumps in asset prices
- Jumps in equilibrium prices and market microstructure noise
- Estimation of quarticity with high-frequency data
- Persistence of jump-induced tail risk and limits to arbitrage
- High-frequency returns, jumps and the mixture of normals hypothesis
- Testing and detecting jumps based on a discretely observed process
- Bayesian approach to Markov switching stochastic volatility model with jumps
- Detection of jumps in financial time series
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Detecting price jumps in the presence of market microstructure noise
- Testing for jump spillovers without testing for jumps
- Testing for jumps in noisy high frequency data
- Equilibrium asset and option pricing under jump diffusion
- Volatility measurement with pockets of extreme return persistence
- High-frequency jump tests: which test should we use?
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Realised quantile-based estimation of the integrated variance
- Realized multi-power variation process for jump detection in the Nigerian all share index
- Jump detection with wavelets for high-frequency financial time series
- The identification of price jumps
- Unit root test with high-frequency data
- Review of statistical approaches for modeling high-frequency trading data
- Testing for the presence of jump components in jump diffusion models
- Resolution of policy uncertainty and sudden declines in volatility
- State-domain change point detection for nonlinear time series regression
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Econometrics of co-jumps in high-frequency data with noise
- Dynamics of intraday serial correlation in China's stock market
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Forecasting and trading high frequency volatility on large indices
- Robust score and portmanteau tests of volatility spillover
- Bootstrapping high-frequency jump tests
- The effect of infrequent trading on detecting price jumps
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