| 題名: | Jump Distribution Characteristics: Evidence from European Stock Markets |
| 作者: | Thierry Ané Carole Métais |
| 關鍵字: | realized volatility|jumps|bipower variation|stock market indexes |
| 期刊名/會議名稱: | international journal of business and economics |
| 摘要: | A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover_x000D_ individual jumps from this overall contribution to the quadratic variation, one needs to_x000D_ estimate both the number of jumps per day and their respective size. We provide a framework to do so and analyze the unconditional distributional properties of the two components of a jump – intensity and size – for three leading European stock market indexes. |
| ISSN: | issn16070704 |
| 日期: | 2010/04/01 |
| 分類: | Volume09,No.1 |
在 DSpace 系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。