Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
نویسندگان
چکیده
منابع مشابه
Jumps in Real-time Financial Markets: A New Nonparametric Test and Jump Dynamics
This paper introduces a new nonparametric jump test for continuous-time asset pricing models. It distinguishes jump arrival times and realized jump sizes in asset prices up to at intra-day levels. We demonstrate the likelihood of misclassification of jumps in discrete data becomes negligible when we use high-frequency returns. We explore real-time jump dynamics using intra-day U.S. individual e...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2007
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhm056