Realized jumps on financial markets and predicting credit spreads
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Publication:737268
DOI10.1016/j.jeconom.2010.03.023zbMath1441.62884OpenAlexW2113380547MaRDI QIDQ737268
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2006/200635/200635pap.pdf
jump-diffusion processrealized variancebipower variationcredit risk premiumjump volatilityrealized jumps
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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