Pages that link to "Item:Q5228603"
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The following pages link to Detecting price jumps in the presence of market microstructure noise (Q5228603):
Displaying 13 items.
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Testing for jumps in the presence of market microstructure noise (Q2861332) (← links)
- The identification of price jumps (Q2882552) (← links)
- Detection of jumps in financial time series (Q5083982) (← links)
- (Q6114224) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)