Dynamic asset price jumps and the performance of high frequency tests and measures

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posted on 2022-11-09, 02:44 authored by Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes

This paper provides an extensive evaluation of high frequency jump tests and measures, in

History

Classification-JEL

C12, C22, C58

Creation date

2017-10-01

Working Paper Series Number

14/17

Length

34

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-14

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Keywords

Dynamic price jumps price jump tests nonparametric jump measures Hawkes process discretized jump diffusion model Bayesian Markov chain Monte Carlo.

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