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...
Main Author: | Gilder, Dudley |
---|---|
Published: |
Lancaster University
2011
|
Subjects: | |
Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.652026 |
Similar Items
-
Computational intelligence techniques for forecasting stock price movements from news articles and technical indicators
by: Shynkevich, Yauheniya
Published: (2016) -
Essays on empirical asset pricing
by: Krecetovs, Aleksejs
Published: (2015) -
Empirical asset pricing in high-frequency markets
by: Komarov, Oleg
Published: (2017) -
An empirical analysis of pricing and structure of new issues in Korea and the UK
by: Lee, Ki - Hwan
Published: (1993) -
Equity warrant pricing - empirical evidence from Malaysia KLSE market
by: Low, Buen Sin
Published: (2000)