The effect of infrequent trading on detecting price jumps

DOI10.1007/s10182-010-0137-yzbMath1443.62371OpenAlexW2063276310MaRDI QIDQ1633220

Frowin C. Schulz, Karl C. Mosler

Publication date: 19 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-010-0137-y

zbMATH Keywords

high frequency datarealized variancebipower variationinfrequent tradingelectricity forward contractzero-returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Jump-robust volatility estimation using nearest neighbor truncation
• Realised quantile-based estimation of the integrated variance
• Testing for jumps in a discretely observed process
• Alternative models for stock price dynamics.
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Financial Modelling with Jump Processes
• Modeling and Forecasting Realized Volatility

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