Browsing Theses and Dissertations by Subject "Jump"

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  • Huang, Xin (2007-05-07)
    This dissertation consists of three related chapters that study financial market volatility, jumps and the economic factors behind them. Each of the chapters analyzes a different aspect of this problem. The first chapter ...
  • Sun, Hao (2012-04-17)
    This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or ...