Dynamics of Intraday Serial Correlation in China's Stock Market

DOI10.1080/03610918.2011.589730zbMath1227.62065OpenAlexW2015772239MaRDI QIDQ3102911

Rong Xu, Bo Zhang, Tao Bi

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.589730

zbMATH Keywords

jumprealized variancevariance ratio test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market ⋮ Dynamical memory control based on projection technique for online regression

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Testing for jumps in a discretely observed process
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Distribution of Realized Exchange Rate Volatility

This page was built for publication: Dynamics of Intraday Serial Correlation in China's Stock Market