An empirical investigation of U.S. stock prices : jumps and co-movements
The introduction of high-frequency data has facilitated the development of new financial econometric techniques, especially in nonparametric volatility measurement through the construction of realised volatility (RV). New non parametric techniques have also becn created for detecting jumps. In t his...
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Lancaster University
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.652026 |