Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market

DOI10.1080/03610918.2013.786946zbMath1343.62035OpenAlexW2161066003MaRDI QIDQ3178528

Tao Bi, Bo Zhang

Publication date: 14 July 2016

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

Full work available at URL: https://doi.org/10.1080/03610918.2013.786946

zbMATH Keywords

jumpvariance ratio testintraday serial correlationjump-robust volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites Work

• Jump-robust volatility estimation using nearest neighbor truncation
• A note on the central limit theorem for bipower variation of general functions
• Testing for jumps in a discretely observed process
• Dynamics of Intraday Serial Correlation in China's Stock Market
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Distribution of Realized Exchange Rate Volatility
• Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS

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