Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps

DOI10.1016/bs.host.2018.11.006zbMath1443.62365OpenAlexW2906919516MaRDI QIDQ3295735

Xiye Yang, Arpita Mukherjee, Norman R. Swanson, Weijia Peng

Publication date: 10 July 2020

Published in: Handbook of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/bs.host.2018.11.006

zbMATH Keywords

jumpscontinuous time modelhigh-frequency databig datafinancial econometricsintegrated volatilitynonparametric estimatorco-jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Statistical aspects of big data and data science (62R07) Jump processes on general state spaces (60J76)

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