Testing for non-correlation between price and volatility jumps

Document type:

Zeitschriftenaufsatz

Author(s):

Jacod, J., Klüppelberg, C., and Müller, G.

Title:

Testing for non-correlation between price and volatility jumps

Keywords:

Common jumps Discrete sampling High-frequency data Itô semimartingale Statistical test Stochastic volatility model

Journal title:

Journal of Econometrics

Year:

2017

Journal volume:

197

Year / month:

2017-04

Quarter:

2. Quartal

Month:

Apr

Journal issue:

Pages contribution:

284-297

Language:

Fulltext / DOI:

WWW:

Publisher:

Elsevier

Notes:

siehe: http://www.researchgate.net/profile/Gernot_Mueller/publications

Status:

Postprint / reviewed

TUM Institution:

Lehrstuhl für Mathematische Statistik

Format:

Text