Detection of jumps in financial market
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Publication:6544944
DOI10.1080/03610918.2021.2016830MaRDI QIDQ6544944FDOQ6544944
Authors: Yanhua Wu, Yufeng Shi 
Publication date: 28 May 2024
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Cites Work
- A New Multivariate Control Chart for Monitoring Both Location and Dispersion
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Multivariate control charts for monitoring the mean vector and covariance matrix with variable sampling intervals
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