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Displaying results 1 to 3 of 3.

  1. Arbitrage constraints and behaviour of volatility components
    evidence from a natural experiment
    Author: Srivastava, Pranjal; Jacob, Joshy
    Published: October 2022
    Publisher:  Indian Institute of Management Ahmedabad, [Ahmedabad]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 797
    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: IIMA working paper ; W.P. no. 2022, 10-01
    Subjects: Regulation SHO; Short-sale constraints; Arbitrage; Volatility jumps
    Scope: 1 Online-Ressource (circa 44 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
  3. High-frequency jump tests
    which test should we use?
    Author: Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, Catherine Scipione
    Published: January 2020
    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
    Edition: (Revised working paper 17/18)
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 20, 03
    Subjects: Price jump tests; Nonparametric jump measures; Bivariate jump diffusion model; Volatility jumps; Microstructure noise; Sampling frequency
    Scope: 1 Online-Ressource (circa 18 Seiten)