The following pages link to Jump Regressions (Q4612493):
Displaying 18 items.
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- A rank test for the number of factors with high-frequency data (Q2000871) (← links)
- Volatility coupling (Q2054472) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- \(\beta\) in the tails (Q2116327) (← links)
- Variation and efficiency of high-frequency betas (Q2116364) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Characterizing financial crises using high-frequency data (Q5079366) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
- Permutation‐based tests for discontinuities in event studies (Q6088790) (← links)
- Stock co-jump networks (Q6150522) (← links)
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
