[1] Barndorff-Nielsen O E, Shephard N. Power and bipower variation with stochastic volatility and jumps[J]. Journal of Financial Econometrics, 2004(2): 1-37.
[2] Tg Andersen T B F D. Roughing it up including jump components in the measurement, modeling and forecasting of return volatility[J]. The Review of Economics and Statistics,2007, 89(4): 701-720.
[3] Aït-Sahalia Y, Jacod J. Testing for jumps in a discretely observed process[J]. The Annals of Statistics, 2007, 37(1): 184-222.
[4] Fan J, Wang Y. Multi-scale jump and volatility analysis for high-frequency financial data[J]. Journal of the American Statistical Association, 2007(102): 480.
[5] 胡素华, 张世英, 张彤. 资产价格的抛物线跳跃扩散模型[J]. 系统工程理论与实践, 2006, 26(3): 1-10.
[6] 李胜歌, 张世英. 金融波动的赋权“已实现”双幂次变差及其应用[J]. 中国管理科学, 2007,15(5):9-15.
[7] 王春峰, 姚宁, 房振明等. 中国股市已实现波动率的跳跃行为研究[J]. 系统工程, 2008, 26(2): 1-6.
[8] Barndorff-Nielsen O E, Shephard N. Econometrics of testing for jumps in financial economics using bipower variation[J]. Journal of Financial Econometrics, 2006(4): 1-30.
[9] Asgharian H, Holmfeldt M, Larsson M. An event study of price movements following realized jumps: FMA european conference[Z]. Prague, 2008.
[10] Lee S S, Mykland P A. Jumps in financial markets: a new nonparametric test and jump dynamics[J]. The Review of Financial Studies, 2008, 21(6): 2535-2563.
Baidu
map