Matches in SemOpenAlex for { <https://semopenalex.org/work/W2394791984> ?p ?o ?g. }
- W2394791984 endingPage "144" @default.
- W2394791984 startingPage "127" @default.
- W2394791984 abstract "Cluster Analysis of Jumps on Capital Markets We analyze the behavior and performance of multiple price jump indicators across capital markets and over time. By using high-frequency we perform cluster analysis of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II errors. We show that clusters of price jump indicators do not exhibit equal size. Clusters are stable across stock market indices and time. Detected numbers of price jumps are also stable over time. The recent financial crisis does not seem to affect the overall jumpiness of mature or emerging stock markets. Our results support the stress testing approach of the Basel III. Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress testing." @default.
- W2394791984 created "2016-06-24" @default.
- W2394791984 creator A5010107197 @default.
- W2394791984 creator A5023878682 @default.
- W2394791984 creator A5082248074 @default.
- W2394791984 date "2016-04-01" @default.
- W2394791984 modified "2023-10-16" @default.
- W2394791984 title "Cluster Analysis of Jumps on Capital Markets" @default.
- W2394791984 cites W1493454437 @default.
- W2394791984 cites W1527195127 @default.
- W2394791984 cites W1599354122 @default.
- W2394791984 cites W1830490994 @default.
- W2394791984 cites W2007995029 @default.
- W2394791984 cites W2013498925 @default.
- W2394791984 cites W2017233816 @default.
- W2394791984 cites W2042770308 @default.
- W2394791984 cites W2045992437 @default.
- W2394791984 cites W2051235503 @default.
- W2394791984 cites W2083685602 @default.
- W2394791984 cites W2090454382 @default.
- W2394791984 cites W2097239771 @default.
- W2394791984 cites W2100011707 @default.
- W2394791984 cites W2125142831 @default.
- W2394791984 cites W2126198089 @default.
- W2394791984 cites W2133334225 @default.
- W2394791984 cites W2136215272 @default.
- W2394791984 cites W2151065060 @default.
- W2394791984 cites W2157992186 @default.
- W2394791984 cites W2164551452 @default.
- W2394791984 cites W2166536772 @default.
- W2394791984 cites W2313965800 @default.
- W2394791984 cites W2314451559 @default.
- W2394791984 cites W2315592082 @default.
- W2394791984 cites W2950144632 @default.
- W2394791984 cites W2997956322 @default.
- W2394791984 cites W3122114082 @default.
- W2394791984 cites W3124264635 @default.
- W2394791984 cites W3124788295 @default.
- W2394791984 cites W3125208405 @default.
- W2394791984 cites W3125929260 @default.
- W2394791984 cites W3125987794 @default.
- W2394791984 cites W4230161370 @default.
- W2394791984 cites W4232065396 @default.
- W2394791984 cites W4245045835 @default.
- W2394791984 doi "https://doi.org/10.18267/j.polek.1059" @default.
- W2394791984 hasPublicationYear "2016" @default.
- W2394791984 type Work @default.
- W2394791984 sameAs 2394791984 @default.
- W2394791984 citedByCount "0" @default.
- W2394791984 crossrefType "journal-article" @default.
- W2394791984 hasAuthorship W2394791984A5010107197 @default.
- W2394791984 hasAuthorship W2394791984A5023878682 @default.
- W2394791984 hasAuthorship W2394791984A5082248074 @default.
- W2394791984 hasBestOaLocation W23947919841 @default.
- W2394791984 hasConcept C10138342 @default.
- W2394791984 hasConcept C121332964 @default.
- W2394791984 hasConcept C127413603 @default.
- W2394791984 hasConcept C139719470 @default.
- W2394791984 hasConcept C143910263 @default.
- W2394791984 hasConcept C149782125 @default.
- W2394791984 hasConcept C162324750 @default.
- W2394791984 hasConcept C164866538 @default.
- W2394791984 hasConcept C166957645 @default.
- W2394791984 hasConcept C19244329 @default.
- W2394791984 hasConcept C199360897 @default.
- W2394791984 hasConcept C204036174 @default.
- W2394791984 hasConcept C2778300220 @default.
- W2394791984 hasConcept C2780695682 @default.
- W2394791984 hasConcept C41008148 @default.
- W2394791984 hasConcept C556758197 @default.
- W2394791984 hasConcept C62520636 @default.
- W2394791984 hasConcept C78519656 @default.
- W2394791984 hasConcept C83646750 @default.
- W2394791984 hasConcept C91602232 @default.
- W2394791984 hasConcept C95457728 @default.
- W2394791984 hasConceptScore W2394791984C10138342 @default.
- W2394791984 hasConceptScore W2394791984C121332964 @default.
- W2394791984 hasConceptScore W2394791984C127413603 @default.
- W2394791984 hasConceptScore W2394791984C139719470 @default.
- W2394791984 hasConceptScore W2394791984C143910263 @default.
- W2394791984 hasConceptScore W2394791984C149782125 @default.
- W2394791984 hasConceptScore W2394791984C162324750 @default.
- W2394791984 hasConceptScore W2394791984C164866538 @default.
- W2394791984 hasConceptScore W2394791984C166957645 @default.
- W2394791984 hasConceptScore W2394791984C19244329 @default.
- W2394791984 hasConceptScore W2394791984C199360897 @default.
- W2394791984 hasConceptScore W2394791984C204036174 @default.
- W2394791984 hasConceptScore W2394791984C2778300220 @default.
- W2394791984 hasConceptScore W2394791984C2780695682 @default.
- W2394791984 hasConceptScore W2394791984C41008148 @default.
- W2394791984 hasConceptScore W2394791984C556758197 @default.
- W2394791984 hasConceptScore W2394791984C62520636 @default.
- W2394791984 hasConceptScore W2394791984C78519656 @default.
- W2394791984 hasConceptScore W2394791984C83646750 @default.
- W2394791984 hasConceptScore W2394791984C91602232 @default.
- W2394791984 hasConceptScore W2394791984C95457728 @default.
- W2394791984 hasIssue "2" @default.
- W2394791984 hasLocation W23947919841 @default.