Matches in SemOpenAlex for { <https://semopenalex.org/work/W60043866> ?p ?o ?g. }
- W60043866 abstract "This paper proposes a new test for the presence of jumps in asset prices. The test is derived from a direct application of Ito’s lemma to the semi-martingale process of asset prices. Intuitively, the proposed test measures the impact of jumps on the third and higher order return moments and is also directly related to the profit/loss function of a variance swap replication strategy. We derive its asymptotic distribution and perform extensive simulations to examine the finite sample properties. Compared to Barndorff-Nielsen and Shephard’s bi-power variation test, the test proposed in this paper has a faster rate of convergence to its asymptotic distribution and is more powerful in detecting jumps. Moreover, in the presence of i.i.d. market microstructure noise, we show that the jump test remains valid with a modified asymptotic variance that is derived in closed form." @default.
- W60043866 created "2016-06-24" @default.
- W60043866 creator A5053452059 @default.
- W60043866 creator A5091806452 @default.
- W60043866 date "2005-01-01" @default.
- W60043866 modified "2023-09-27" @default.
- W60043866 title "A New Test for Jumps in Asset Prices" @default.
- W60043866 cites W1531320667 @default.
- W60043866 cites W1568563398 @default.
- W60043866 cites W1966210751 @default.
- W60043866 cites W1971789299 @default.
- W60043866 cites W1972362009 @default.
- W60043866 cites W1984031927 @default.
- W60043866 cites W1994281962 @default.
- W60043866 cites W2010337369 @default.
- W60043866 cites W2018997047 @default.
- W60043866 cites W2034241492 @default.
- W60043866 cites W2035416181 @default.
- W60043866 cites W2051235503 @default.
- W60043866 cites W2081877251 @default.
- W60043866 cites W2083685602 @default.
- W60043866 cites W2099146293 @default.
- W60043866 cites W2107193251 @default.
- W60043866 cites W2113883339 @default.
- W60043866 cites W2123495195 @default.
- W60043866 cites W2125854854 @default.
- W60043866 cites W2129754216 @default.
- W60043866 cites W2133334225 @default.
- W60043866 cites W2136215272 @default.
- W60043866 cites W2140540503 @default.
- W60043866 cites W2150163453 @default.
- W60043866 cites W2151065060 @default.
- W60043866 cites W2155804346 @default.
- W60043866 cites W2157296221 @default.
- W60043866 cites W2158120228 @default.
- W60043866 cites W2163191305 @default.
- W60043866 cites W2187546222 @default.
- W60043866 cites W2323626928 @default.
- W60043866 cites W2501499209 @default.
- W60043866 cites W2917990073 @default.
- W60043866 cites W292358271 @default.
- W60043866 cites W3023336381 @default.
- W60043866 cites W3121364726 @default.
- W60043866 cites W3121546820 @default.
- W60043866 cites W3121806303 @default.
- W60043866 cites W3122154929 @default.
- W60043866 cites W3122281927 @default.
- W60043866 cites W3122291403 @default.
- W60043866 cites W3123342845 @default.
- W60043866 cites W3123901661 @default.
- W60043866 cites W3124585920 @default.
- W60043866 cites W3125263362 @default.
- W60043866 cites W3125358545 @default.
- W60043866 cites W2111441536 @default.
- W60043866 hasPublicationYear "2005" @default.
- W60043866 type Work @default.
- W60043866 sameAs 60043866 @default.
- W60043866 citedByCount "18" @default.
- W60043866 countsByYear W600438662012 @default.
- W60043866 countsByYear W600438662013 @default.
- W60043866 countsByYear W600438662019 @default.
- W60043866 crossrefType "journal-article" @default.
- W60043866 hasAuthorship W60043866A5053452059 @default.
- W60043866 hasAuthorship W60043866A5091806452 @default.
- W60043866 hasConcept C105795698 @default.
- W60043866 hasConcept C112401455 @default.
- W60043866 hasConcept C121332964 @default.
- W60043866 hasConcept C149782125 @default.
- W60043866 hasConcept C185429906 @default.
- W60043866 hasConcept C18903297 @default.
- W60043866 hasConcept C2777759810 @default.
- W60043866 hasConcept C2780695682 @default.
- W60043866 hasConcept C28826006 @default.
- W60043866 hasConcept C33923547 @default.
- W60043866 hasConcept C46757340 @default.
- W60043866 hasConcept C48406656 @default.
- W60043866 hasConcept C62520636 @default.
- W60043866 hasConcept C65778772 @default.
- W60043866 hasConcept C86803240 @default.
- W60043866 hasConcept C90087638 @default.
- W60043866 hasConceptScore W60043866C105795698 @default.
- W60043866 hasConceptScore W60043866C112401455 @default.
- W60043866 hasConceptScore W60043866C121332964 @default.
- W60043866 hasConceptScore W60043866C149782125 @default.
- W60043866 hasConceptScore W60043866C185429906 @default.
- W60043866 hasConceptScore W60043866C18903297 @default.
- W60043866 hasConceptScore W60043866C2777759810 @default.
- W60043866 hasConceptScore W60043866C2780695682 @default.
- W60043866 hasConceptScore W60043866C28826006 @default.
- W60043866 hasConceptScore W60043866C33923547 @default.
- W60043866 hasConceptScore W60043866C46757340 @default.
- W60043866 hasConceptScore W60043866C48406656 @default.
- W60043866 hasConceptScore W60043866C62520636 @default.
- W60043866 hasConceptScore W60043866C65778772 @default.
- W60043866 hasConceptScore W60043866C86803240 @default.
- W60043866 hasConceptScore W60043866C90087638 @default.
- W60043866 hasLocation W600438661 @default.
- W60043866 hasOpenAccess W60043866 @default.
- W60043866 hasPrimaryLocation W600438661 @default.
- W60043866 hasRelatedWork W2034241492 @default.