FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124585920> ?p ?o ?g. }

• W3124585920 endingPage "499" @default.
• W3124585920 startingPage "456" @default.
• W3124585920 abstract "We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, good power, and good jump detection capabilities revealed by the confusion matrix comprised of jump classification probabilities. We identify a pitfall in applying the asymptotic approximation over an entire sample. Theoretical and Monte Carlo analysis indicates that microstructure noise biases the tests against detecting jumps, and that a simple lagging strategy corrects the bias. Empirical work documents evidence for jumps that account for 7% of stock market price variance." @default.
• W3124585920 created "2021-02-01" @default.
• W3124585920 creator A5044239521 @default.
• W3124585920 creator A5086038624 @default.
• W3124585920 date "2005-08-19" @default.
• W3124585920 modified "2023-10-14" @default.
• W3124585920 title "The Relative Contribution of Jumps to Total Price Variance" @default.
• W3124585920 cites W1499969990 @default.
• W3124585920 cites W1528407481 @default.
• W3124585920 cites W1575104486 @default.
• W3124585920 cites W1605144273 @default.
• W3124585920 cites W174630537 @default.
• W3124585920 cites W1756751622 @default.
• W3124585920 cites W1963787328 @default.
• W3124585920 cites W1979161134 @default.
• W3124585920 cites W2041865734 @default.
• W3124585920 cites W2051235503 @default.
• W3124585920 cites W2054599015 @default.
• W3124585920 cites W2083685602 @default.
• W3124585920 cites W2101216171 @default.
• W3124585920 cites W2108894520 @default.
• W3124585920 cites W2112352537 @default.
• W3124585920 cites W2113883339 @default.
• W3124585920 cites W2123060556 @default.
• W3124585920 cites W2127243480 @default.
• W3124585920 cites W2129754216 @default.
• W3124585920 cites W2133334225 @default.
• W3124585920 cites W2136215272 @default.
• W3124585920 cites W2151065060 @default.
• W3124585920 cites W2157296221 @default.
• W3124585920 cites W2157403008 @default.
• W3124585920 cites W2238644309 @default.
• W3124585920 cites W2268173117 @default.
• W3124585920 cites W2280053103 @default.
• W3124585920 cites W3023336381 @default.
• W3124585920 cites W3121364726 @default.
• W3124585920 cites W3121806303 @default.
• W3124585920 cites W3123071367 @default.
• W3124585920 cites W3123321876 @default.
• W3124585920 cites W3123342845 @default.
• W3124585920 cites W3123928290 @default.
• W3124585920 cites W3124209012 @default.
• W3124585920 cites W3124264635 @default.
• W3124585920 cites W3125412410 @default.
• W3124585920 cites W3125593251 @default.
• W3124585920 cites W3125666236 @default.
• W3124585920 cites W91965708 @default.
• W3124585920 doi "https://doi.org/10.1093/jjfinec/nbi025" @default.
• W3124585920 hasPublicationYear "2005" @default.
• W3124585920 type Work @default.
• W3124585920 sameAs 3124585920 @default.
• W3124585920 citedByCount "627" @default.
• W3124585920 countsByYear W31245859202012 @default.
• W3124585920 countsByYear W31245859202013 @default.
• W3124585920 countsByYear W31245859202014 @default.
• W3124585920 countsByYear W31245859202015 @default.
• W3124585920 countsByYear W31245859202016 @default.
• W3124585920 countsByYear W31245859202017 @default.
• W3124585920 countsByYear W31245859202018 @default.
• W3124585920 countsByYear W31245859202019 @default.
• W3124585920 countsByYear W31245859202020 @default.
• W3124585920 countsByYear W31245859202021 @default.
• W3124585920 countsByYear W31245859202022 @default.
• W3124585920 countsByYear W31245859202023 @default.
• W3124585920 crossrefType "journal-article" @default.
• W3124585920 hasAuthorship W3124585920A5044239521 @default.
• W3124585920 hasAuthorship W3124585920A5086038624 @default.
• W3124585920 hasBestOaLocation W31245859201 @default.
• W3124585920 hasConcept C105795698 @default.
• W3124585920 hasConcept C121332964 @default.
• W3124585920 hasConcept C121955636 @default.
• W3124585920 hasConcept C149782125 @default.
• W3124585920 hasConcept C162324750 @default.
• W3124585920 hasConcept C19499675 @default.
• W3124585920 hasConcept C196083921 @default.
• W3124585920 hasConcept C2776962539 @default.
• W3124585920 hasConcept C2780695682 @default.
• W3124585920 hasConcept C33923547 @default.
• W3124585920 hasConcept C62520636 @default.
• W3124585920 hasConcept C89128539 @default.
• W3124585920 hasConceptScore W3124585920C105795698 @default.
• W3124585920 hasConceptScore W3124585920C121332964 @default.
• W3124585920 hasConceptScore W3124585920C121955636 @default.
• W3124585920 hasConceptScore W3124585920C149782125 @default.
• W3124585920 hasConceptScore W3124585920C162324750 @default.
• W3124585920 hasConceptScore W3124585920C19499675 @default.
• W3124585920 hasConceptScore W3124585920C196083921 @default.
• W3124585920 hasConceptScore W3124585920C2776962539 @default.
• W3124585920 hasConceptScore W3124585920C2780695682 @default.
• W3124585920 hasConceptScore W3124585920C33923547 @default.
• W3124585920 hasConceptScore W3124585920C62520636 @default.
• W3124585920 hasConceptScore W3124585920C89128539 @default.
• W3124585920 hasIssue "4" @default.
• W3124585920 hasLocation W31245859201 @default.
• W3124585920 hasLocation W31245859202 @default.
• W3124585920 hasOpenAccess W3124585920 @default.
• W3124585920 hasPrimaryLocation W31245859201 @default.
• W3124585920 hasRelatedWork W2052668055 @default.

• next