Robust jump regressions

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components...

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Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
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語言:English
出版: Institutional Knowledge at Singapore Management University 2017
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在線閱讀:https://ink.library.smu.edu.sg/soe_research/2570
https://ink.library.smu.edu.sg/context/soe_research/article/3569/viewcontent/Robust_Jump_Regressions.pdf
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