Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures

Worapree Maneesoonthorn, Catherine Forbes and Gael M. Martin

Journal of Applied Econometrics, 2017, vol. 32, issue 3, 504-532

Date: 2017
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Related works:
Working Paper: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures (2016)
Working Paper: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures (2016)
Working Paper: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures (2014)
Working Paper: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures (2013)
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