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- Title:
Testing for non-correlation between price and volatility jumps
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Jacod, J., Klüppelberg, C., and Müller, G.
- 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:
- 2
- Pages contribution:
- 284-297
- Language:
- en
- Fulltext / DOI:
- doi:10.1016/j.jeconom.2016.11.007
- WWW:
- Journal of Econometrics
- Publisher:
- Elsevier
- Notes:
- siehe: http://www.researchgate.net/profile/Gernot_Mueller/publications
- Status:
- Postprint / reviewed
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
BibTeX