Testing for non-correlation between price and volatility jumps

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
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