Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
收藏NBER2010-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15808
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资源简介：
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the
提供机构：
美国国家经济研究局
创建时间：
2010-03-01
