Original title: The identification of price jumps
Authors: Hanousek, J. ; Kočenda, Evžen ; Novotný, J.
Document type: Research reports
Year: 2011
Language: eng
Series: CERGE-EI Working Paper Series, volume: 434
Abstract: 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.
Keywords: non-parametric testing; price jumps; price-jump indicators
Project no.: CEZ:AV0Z70850503 (CEP)

Institution: Economics Institute AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://www.cerge-ei.cz/pdf/wp/Wp434.pdf
Original record: http://hdl.handle.net/11104/0204964

Permalink: http://www.nusl.cz/ntk/nusl-81251


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