The Drift Burst Hypothesis
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Cited by:
- Laurent, Sébastien & Shi, Shuping, 2020.
"Volatility estimation and jump detection for drift–diffusion processes,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
- Sébastien Laurent & Shuping Shi, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Post-Print hal-02909690, HAL.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," Working Papers halshs-01944449, HAL.
- Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
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More about this item
Keywords
flash crashes; drift bursts; volatility bursts; nonparametric statistics; reversals;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-10-09 (Econometrics)
- NEP-ETS-2016-10-09 (Econometric Time Series)
- NEP-MST-2016-10-09 (Market Microstructure)
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