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

DOI10.1080/03610918.2013.786946zbMATH Open1343.62035OpenAlexW2161066003MaRDI QIDQ3178528FDOQ3178528

Tao Bi, Bo Zhang

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)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Distribution of Realized Exchange Rate Volatility
• Testing for jumps in a discretely observed process
• Jump-robust volatility estimation using nearest neighbor truncation
• A note on the central limit theorem for bipower variation of general functions
• Dynamics of Intraday Serial Correlation in China's Stock Market
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
• Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure

   Recommendations

• Dynamics of Intraday Serial Correlation in China's Stock Market 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets 👍 👎

This page was built for publication: Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3178528)