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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w15808 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w15808 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573483 |
推荐引用方式 GB/T 7714 | Yacine Aït-Sahalia,Jean Jacod. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. 2010. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w15808.pdf(554KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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