Nonparametric Inference of Jump Autocorrelation
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More about this item
Keywords
jump autocorrelation; self-excited jumps; nonparametric inference; financial contagion; high-frequency returns;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-08-31 (Econometrics)
- NEP-ETS-2020-08-31 (Econometric Time Series)
- NEP-RMG-2020-08-31 (Risk Management)
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