Testing for jumps when asset prices are observed with noise–a “swap variance” approach
Work
Year: 2008
Type: article
Source: Journal of Econometrics
Authors George J. Jiang, Roel C. A. Oomen
Institutions Yunnan University of Finance And Economics, University of Arizona, University of Amsterdam, Deutsche Bank (United Kingdom)
Cites: 78
Cited by: 279
Related to: 10
FWCI: 16.89
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: closed