Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
暂无分享,去创建一个
[1] Giovanni Urga,et al. Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests , 2011 .
[2] N. Shephard,et al. Realized Kernels in Practice: Trades and Quotes , 2009 .
[3] N. Shephard,et al. Power and bipower variation with stochastic volatility and jumps , 2003 .
[4] Christopher J. Neely,et al. Jumps, Cojumps and Macro Announcements , 2009 .
[5] Sheridan Titman,et al. The Cross-Section of Expected REIT Returns , 2003 .
[6] Mark Podolskij,et al. Fact or Friction: Jumps at Ultra High Frequency , 2014 .
[7] Francis X. Diebold,et al. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets , 2006 .
[8] Mark Podolskij,et al. Bipower-type estimation in a noisy diffusion setting☆ , 2009 .
[9] Francis X. Diebold,et al. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange , 2002 .
[10] Mikael Petitjean,et al. Trading activity, realized volatility and jumps , 2010 .
[11] A. Kyle,et al. The Flash Crash: The Impact of High Frequency Trading on an Electronic Market , 2011 .
[12] A. Mood. The Distribution Theory of Runs , 1940 .
[13] P. Mykland,et al. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics , 2008 .
[14] P. Hansen,et al. Realized Variance and Market Microstructure Noise , 2005 .
[15] Yacine Aït-Sahalia,et al. Disentangling diffusion from jumps , 2004 .
[16] Olivier Scaillet,et al. Financial Valuation and Risk Management Working Paper No . 452 Technical Trading Revisited : False Discoveries , Persistence Tests , and Transaction Costs , 2011 .
[17] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[18] Ernst Schaumburg,et al. Federal Reserve Bank of New York Staff Reports Jump-robust Volatility Estimation Using Nearest Neighbor Truncation Jump-robust Volatility Estimation Using Nearest Neighbor Truncation , 2010 .
[19] Around-the-Clock Media Coverage and the Timing of Earnings Announcements , 2005 .
[20] Cecilia Mancini,et al. Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps , 2006, math/0607378.
[21] Mikael Petitjean,et al. Trading Activity, Realized Volatility and Jumps , 2009 .
[22] George Tauchen,et al. Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance , 2012 .
[23] Suzanne S. Lee,et al. Jumps and Information Flow in Financial Markets , 2011 .
[24] Alʹbert Nikolaevich Shiri︠a︡ev,et al. Theory of martingales , 1989 .
[25] Ion Grama. On moderate deviations for martingales , 1997 .
[26] Yacine Ait-Sahalia,et al. How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis , 2009, SSRN Electronic Journal.
[27] Jean Jacod,et al. Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes , 2009 .
[28] Tim Bollerslev,et al. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility , 2007 .
[29] N. Shephard,et al. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS , 2005, Econometric Theory.
[30] Suzanne S. Lee,et al. Jumps in Equilibrium Prices and Market Microstructure Noise , 2012 .
[31] O. Scaillet,et al. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas , 2005 .
[32] N. Shephard,et al. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation , 2005 .
[33] E. Lehmann. The Fisher, Neyman-Pearson Theories of Testing Hypotheses: One Theory or Two? , 1993 .
[34] E. Haeusler. On the Rate of Convergence in the Central Limit Theorem for Martingales with Discrete and Continuous Time , 1988 .
[35] Ernst Schaumburg,et al. A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY , 2013, Econometric Theory.
[36] L. Ederington,et al. How Markets Process Information: News Releases and Volatility , 1993 .
[37] Sofus A. Macskassy,et al. More than Words: Quantifying Language to Measure Firms' Fundamentals the Authors Are Grateful for Assiduous Research Assistance from Jie Cao and Shuming Liu. We Appreciate Helpful Comments From , 2007 .
[38] Paul C. Tetlock. Giving Content to Investor Sentiment: The Role of Media in the Stock Market , 2005, The Journal of Finance.
[39] Jan Hannig,et al. Detecting Jumps from Levy Jump Diffusion Processes , 2009 .
[40] Andrew J. Patton,et al. Does Beta Move with News? Firm-Specific Information Flows and Learning About Profitability , 2012 .
[41] Azeem M. Shaikh,et al. FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES , 2007, Econometric Theory.
[42] Tim Bollerslev,et al. Risk, Jumps, and Diversification , 2007 .
[43] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[44] Tim Bollerslev,et al. Tails, Fears and Risk Premia , 2009 .
[45] Torben G. Andersen,et al. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications , 2007 .
[46] Jean Jacod,et al. Testing for Jumps in a Discretely Observed Process , 2007 .
[47] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[48] Jianqing Fan,et al. Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data , 2006 .
[49] L. Smith,et al. Empirical Evidence on Jumps in the Term Structure of the US Treasury Market . , 2008 .
[50] I. Johnstone,et al. Adapting to unknown sparsity by controlling the false discovery rate , 2005, math/0505374.
[51] L. Ederington,et al. The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility , 1996, Journal of Financial and Quantitative Analysis.
[52] J. Poterba,et al. What moves stock prices? , 1988 .
[53] Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility , 2001 .
[54] I. Johnstone,et al. Ideal spatial adaptation by wavelet shrinkage , 1994 .
[55] Yacine Ait-Sahalia,et al. Market Response to Policy Initiatives During the Global Financial Crisis , 2010 .
[56] Nicholas G. Polson,et al. The Impact of Jumps in Volatility and Returns , 2000 .
[57] P. Carr,et al. What Type of Process Underlies Options? A Simple Robust Test , 2003 .
[58] R. Oomen,et al. Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach , 2007 .
[59] R. Gencay,et al. An Introduc-tion to High-Frequency Finance , 2001 .
[60] A. Gallant,et al. Alternative models for stock price dynamics , 2003 .
[61] S. Holm. A Simple Sequentially Rejective Multiple Test Procedure , 1979 .