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New tests for jumps in semimartingale models · Study

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ArticleNew tests for jumps in semimartingale models

Mark Podolskij2009

Article2009

New tests for jumps in semimartingale models

Mark Podolskij · Daniel Ziggel

66 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2003Limit Theorems for Stochastic Processes 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005A Tale of Two Time Scales 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Cited by

2014Econometrics of co-jumps in high-frequency data with noise 2014A new set of improved Value-at-Risk backtests 2020High-frequency jump tests: Which test should we use?2015ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS 2015The economic value of volatility timing with realized jumps 2018

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Year2009

Typearticle

Published2009-12-18

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations66

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-009-9037-8

openalex_workW2039466535

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2020The dynamics of price jumps in the stock market: an empirical study on Europe and U.S.