Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market

DOI10.1080/03610918.2013.786946MaRDI QIDQ3178528zbMATH OpenOpenAlexFDO

Authors Bo Zhang, Tao Bi

Publication date 14 July 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2013.786946

zbMATH Keywords

jumpvariance ratio testintraday serial correlationjump-robust volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A note on the central limit theorem for bipower variation of general functions
• Dynamics of intraday serial correlation in China's stock market
• Jump-robust volatility estimation using nearest neighbor truncation
• Measuring downside risk using high-frequency data: realized downside risk measure
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
• Testing for jumps in a discretely observed process
• The Distribution of Realized Exchange Rate Volatility

Cited in

(2)

• Dynamics of intraday serial correlation in China's stock market
• Stock crashes and jumps reactions to information demand and supply: an intraday analysis

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