An empirical study on jumps in asset prices using high-frequency data : volatility specification, jumps detection & the modelling of jump intensity
To provide further evidences on jumps in asset prices, in this thesis we conduct an empirical analysis on high-frequency data from a stock index and consider the problem of identifying jumps at intraday intervals. Our approach generalizes two existing methods in the literature in terms of estimating...
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Lancaster University
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.663227 |