Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
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- Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
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More about this item
KeywordsCovariance; Co-jumps; High-frequency data; First-High-Low-Last price; Microstructure bias; Nonsynchronous trades; Realized covariance; Realized co-range.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-29 (All new papers)
- NEP-ECM-2011-08-29 (Econometrics)
- NEP-ETS-2011-08-29 (Econometric Time Series)
- NEP-MST-2011-08-29 (Market Microstructure)
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