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Jump Regressions - MaRDI portal

Jump Regressions (Q4612493)

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scientific article; zbMATH DE number 7009627
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English
Jump Regressions
scientific article; zbMATH DE number 7009627

    Statements

    title
    Jump Regressions (English)
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    author
    Jia Li
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    Viktor Todorov
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    George Tauchen
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    published in
    Econometrica
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    publication date
    31 January 2019
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    zbMATH Keywords
    efficient estimation
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    high-frequency data
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    jumps
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    LAMN
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    regression
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    semimartingale
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    specification test
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    stochastic volatility
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    Identifiers

    DOI
    10.3982/ECTA12962
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    Mathematics Subject Classification ID
    62P20
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    62J02
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    62M10
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    60G42
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    60J75
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    zbMATH DE Number
    7009627
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    OpenAlex ID
    W4213047445
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