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来源类型Working Paper
规范类型报告
DOI10.3386/w15808
来源IDWorking Paper 15808
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Yacine Aït-Sahalia; Jean Jacod
发表日期2010-03-11
出版年2010
语种英语
摘要This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to incorporate to effect of market microstructure noise on the test statistics, apply the methodology to high frequency individual stock returns, transactions and quotes, stock index returns and compare the qualitative features of the estimated process for these different data and discuss the economic implications of the results.
主题Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w15808
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/573483
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Yacine Aït-Sahalia,Jean Jacod. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. 2010.
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