The drift burst hypothesis
type: Item
instance of: scholarly article
title: The drift burst hypothesis
author: Kim Christensen
author: Roberto Renò
author: Roel C. A. Oomen
published in: Journal of Econometrics
publication date: 2022-03-16T00:00:00Z
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7491168
zbMATH Keywords: flash crashes
zbMATH Keywords: gradual jumps
zbMATH Keywords: volatility bursts
zbMATH Keywords: liquidity
zbMATH Keywords: nonparametric statistics
zbMATH Keywords: microstructure noise
MaRDI profile type: Publication
full work available at URL: j.jeconom.2020.11.004
OpenAlex ID: W3114559834
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DOI: 10.1016/J.JECONOM.2020.11.004
description: scientific article; zbMATH DE number 7491168