A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market
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DOI: 10.1016/j.jbef.2020.100418
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More about this item
Keywords
Complex network analysis; Intraday returns; Realised jumps; Realised volatility; Jump risk;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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