Identifying Jumps in Asset Prices

DOI10.1007/978-3-642-17254-0_14zbMath1229.91351OpenAlexW129782068MaRDI QIDQ3112467

James E. Gentle, Johan Bjursell

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_14

Mathematics Subject Classification ID

Related Items (1)

Review of statistical approaches for modeling high-frequency trading data

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Financial Modelling with Jump Processes
• A Tale of Two Time Scales
• Unnamed Item

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