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The identification of price jumps
- 1.0371454 - NHÚ 2012 CZ eng V - Research Report
Hanousek, J. - Kočenda, Evžen - Novotný, J.
The identification of price jumps.
Prague: CERGE-EI, 2011. 48 s. CERGE-EI Working Paper Series, 434. ISSN 1211-3298
Institutional research plan: CEZ:AV0Z70850503
Keywords : price jumps * price-jump indicators * non-parametric testing
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp434.pdf
We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intraday noise volatility patterns and price-jump specifications.
Permanent Link: http://hdl.handle.net/11104/0204964
File Download Size Commentary Version Access Wp434.pdf 0 718.1 KB Publisher’s postprint open-access
Number of the records: 1