The relationship between the volatility of returns and the number of jumps in financial markets
We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the “number of jumps” as a variable to explain and predict volatility and show that the number of jumps in SPY...
| Những tác giả chính: | , |
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| Định dạng: | Journal article |
| Được phát hành: |
Taylor and Francis
2014
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