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Results 1-2 of 2 (Search time: 0.004 seconds).
Stationary bootstrap test for jumps in high-frequency financial asset data
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2016
Citation
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.23, no.2, pp.163 - 177
Publisher
KOREAN STATISTICAL SOC
A bootstrap test for jumps in financial economics
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2014
Citation
ECONOMICS LETTERS, v.125, no.1, pp.74 - 78
Publisher
ELSEVIER SCIENCE SA
1
Discover
Author
Hwang, Eun Ju
2
Shin, Dong Wan
2
Subject
INTEGRATED VOLATILITY
2
MICROSTRUCTURE NOISE
2
REALIZED VOLATILITY
2
i.i.d. bootstrap
1
Jump diffusion process
1
jump diffusion process
1
MODELS
1
OPTIONS
1
Ratio test
1
ratio test
1
.
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Date Issued
2016
1
2014
1
Type
Article
2
Language
English
2
Journal
Communications for Statistical Ap...
1
Economics Letters
1
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