Název:
The identification of price jumps
Autoři:
Hanousek, J. ; Kočenda, Evžen ; Novotný, J. Typ dokumentu: Výzkumné zprávy
Rok:
2011
Jazyk:
eng
Edice: CERGE-EI Working Paper Series, svazek: 434
Abstrakt: We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intraday noise volatility patterns and price-jump specifications.
Klíčová slova:
non-parametric testing; price jumps; price-jump indicators Číslo projektu: CEZ:AV0Z70850503 (CEP)