完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.author | Thierry Ané | |
| dc.contributor.author | Carole Métais | |
| dc.date.accessioned | 2020-08-25T06:38:03Z | - |
| dc.date.available | 2020-08-25T06:38:03Z | - |
| dc.date.issued | 2010/04/01 | |
| dc.identifier.issn | issn16070704 | |
| dc.identifier.uri | http://dspace.fcu.edu.tw/handle/2376/2314 | - |
| dc.description.abstract | 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. | |
| dc.description.sponsorship | 逢甲大學 | |
| dc.format.extent | 22 | |
| dc.language.iso | 英文 | |
| dc.relation.ispartofseries | international journal of business and economics | |
| dc.relation.isversionof | Volume9,No.1 | |
| dc.subject | realized volatility|jumps|bipower variation|stock market indexes | |
| dc.title | Jump Distribution Characteristics: Evidence from European Stock Markets | |
| dc.type | 期刊篇目 | |
| 分類: | Volume09,No.1 | |
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