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  1. Dynamic asset price jumps and the performance of high frequency tests and measures
    Author: Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, Catherine Scipione
    Published: October 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 14
    Subjects: Dynamic price jumps; Price jump tests; Nonparametric jump measures; Hawkes process; Discretized jump diffusion model; Bayesian Markov chain Monte Carlo
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Dynamic price jumps
    the performance of high frequency tests and measures, and the robustness of inference
    Author: Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, Catherine Scipione
    Published: September 2018
    Publisher:  Monash University, Department of Econometrics and Business Statistics, [Victoria, Australia]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 796
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 18, 17
    Subjects: Price jump tests; Nonparametric jump measures; Hawkes process; Discretized jump diffusion model; Volatility jumps; Bayesian Markov chain Monte Carlo
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen