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Modelling and measuring jumps in high frequency data
chapter
posted on 2023-05-22, 18:11 authored by Matei, MThe paper summarizes the latest developments in volatility modelling with jumps. It undertakes a comprehensive review of the literature written, highlighting the relevance of the topic and the improvements brought by departing from continuous sample path models to nonparametric realized volatility models which account for jumps. Three of the most relevant tests (Sahalia and Jacod, 2012, Barndorff-Nielsen and Shephard, 2006, and Lee and Mykland, 2007) are succinctly described.
History
Publication title
Selected Issues in Macroeconomic and Regional Modeling: Romania as an Emerging Country in the EUEditors
E Dobrescu, B Pauna, and C SamanPagination
245-254ISBN
978-1-63484-936-4Department/School
TSBEPublisher
Nova Science PublishersPlace of publication
New York, NYExtent
18Rights statement
Copyright 2016 Nova Science Publishers, Inc.Repository Status
- Restricted