A Comprehensive Comparison of Alternative Tests for Jumps in Asset Prices
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Citations
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Cited by:
- Sévi, Benoît, 2015.
"Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps,"
Economic Modelling,
Elsevier, vol. 44(C), pages 243-251.
- Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
- Sévi, Benoît, 2014.
"Forecasting the volatility of crude oil futures using intraday data,"
European Journal of Operational Research,
Elsevier, vol. 235(3), pages 643-659.
- Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-53, Department of Research, Ipag Business School.
- Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Post-Print hal-01463921, HAL.
More about this item
Keywords
Quadratic variation; jumps; stochastic volatility; realized measures; high-frequency data;JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2011-07-13 (All new papers)
- NEP-CWA-2011-07-13 (Central & Western Asia)
- NEP-ECM-2011-07-13 (Econometrics)
- NEP-MST-2011-07-13 (Market Microstructure)
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