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Browsing by Subject "high-frequency data"
Now showing items 1-2 of 2
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Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance
(2012-04-15)This paper uses high-frequency price data to study the relative contribution of jumps to the total volatility of an equity. In particular, it systematically compares the relative contribution of jumps across a panel of ... -
Data-Driven Jump Detection Thresholds for Application in Jump Regressions
(Economic Research Initiatives at Duke (ERID), 2015-09-17)This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We ...
