Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps
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More about this item
Keywords
Sampling schemes; previous tick method; quadratic variation; jumps; stochastic volatility; realized measures; high-frequency data;All these keywords.
JEL classification:
- C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-10-23 (Econometrics)
- NEP-ETS-2010-10-23 (Econometric Time Series)
- NEP-MST-2010-10-23 (Market Microstructure)
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