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LIU ZHI [1]
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2013 [1]
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Community：科技學院
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Source Publication：Journal of Banking and Finance
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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:
Wang K.
;
Liu J.
;
Liu Z.
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Submit date：2019/02/14
Co-jump
Co-volatility
High-frequency Finance
Idiosyncratic Jumps
Itô Semi-martingale
Microstructure Noise
Non-synchronous Trading
