Testing for jumps when asset prices are observed with noise-a "swap variance" approach

Journal of Econometrics

Volumn 144, Issue 2, 2008, Pages 352-370

  Jiang, George J ^a,b   Oomen, Roel C A ^c,d  

^a UNIVERSITY OF ARIZONA   (United States)

^b YUNNAN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c DEUTSCHE BANK AG   (Germany)

^d UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Bi power variation; Jumps; Market microstructure noise; Swap variance

Indexed keywords

ARSENIC; BISMUTH; BISMUTH PLATING; STATISTICAL TESTS; STATISTICS; TESTING;

(E ,3E) PROCESS; (PL) PROPERTIES; ANALYTICAL RESULTS; APPLIED (CO); ASSET PRICING; ELSEVIER (CO); HIGH-FREQUENCY DATA; HIGHER ORDER; IMPACT OF NOISE; POWER VARIATIONS; REPLICATION STRATEGIES; TRADE DATA;

SOFTWARE TESTING;

EID: 45849118671     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.04.009     Document Type: Article

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