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: | , , |
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| 格式: | text |
| 語言: | English |
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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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| 機構: | Singapore Management University |
| 語言: | English |