Work

Testing for jumps when asset prices are observed with noise–a “swap variance” approach

Year: 2008

Type: article

Source: Journal of Econometrics

Authors: George J. Jiang, Roel C.A. Oomen

Institutions: University of Arizona, Yunnan University of Finance And Economics, Washington State University, University of Warwick, Deutsche Bank (United Kingdom), University of Amsterdam

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2146419299

FWCI: 34.42

Cites: 68

Cited by: 287

Related to: 20