Effects of jumps and small noise in high-frequency financial econometrics
type: Item
instance of: scholarly article
title: Effects of jumps and small noise in high-frequency financial econometrics
zbMATH Open document ID: 1418.91610
author: Naoto Kunitomo
author: Daisuke Kurisu
published in: Asia-Pacific Financial Markets
publication date: 2018-12-03T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6987733
zbMATH Keywords: high-frequency financial data
zbMATH Keywords: continuous-time processes
zbMATH Keywords: jumps
zbMATH Keywords: micro-market noise
zbMATH Keywords: small-noise asymptotics
zbMATH Keywords: asymptotic robustness of jump-test
MaRDI profile type: Publication
full work available at URL: s10690-017-9223-4
OpenAlex ID: W2594742153
cites work: Testing for jumps in a discretely observed process
cites work: Is Brownian motion necessary to model high-frequency data?
cites work: Testing for jumps in noisy high frequency data
cites work: Q5495335
cites work: Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
cites work: Financial Modelling with Jump Processes
cites work: Stable Convergence and Stable Limit Theorems
cites work: Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
cites work: Q3992729
cites work: Asymptotic properties of realized power variations and related functionals of semimartingales
cites work: Discretization of processes.
cites work: Stochastic differential equations. An introduction with applications.
DOI: 10.1007/S10690-017-9223-4
description: scientific article; zbMATH DE number 6987733