Generalized jump regressions for local moments

Generalized jump regressions for local moments

We develop new high-frequency-based inference procedures for analyzing the relationship between jumps in instantaneous moments of stochastic processes. The estimation consists of two steps: the nonparametric determination of the jumps as differences in local averages, followed by a minimum-distance...

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Bibliographic Details
Main Authors: BOLLERSLEV, Tim, LI, Jia, CHAVES, Leonardo Salim Saker
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
high-frequency data
jumps
robust regression
semimartingale
news announcements
news surprises
investor disagreement
volume
volatility
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/2545
https://ink.library.smu.edu.sg/context/soe_research/article/3544/viewcontent/Generalized_Jump_Regressions_for_Local_Moments.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2545
https://ink.library.smu.edu.sg/context/soe_research/article/3544/viewcontent/Generalized_Jump_Regressions_for_Local_Moments.pdf

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