2019•Handbook of statisticsRequires access

Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps

Arpita Mukherjee, Weijia Peng, Norman Rasmus Swanson, Xiye Yang

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Key concepts: Estimator, Econometrics, Jump, Volatility (finance), Nonparametric statistics, Economics, Financial econometrics, Stock (firearms)

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Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps — Research Paper | ScholarLens