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2013 [1]
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英語English [1]
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Journal of Banki... [1]
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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Journal article
Kent Wang, Junwei Liu, Zhi Liu. Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility[J]. Journal of Banking and Finance, 2013, 37(5), 1777-1786.
Authors:
Kent Wang
;
Junwei Liu
;
Zhi Liu
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TC[WOS]:
10
TC[Scopus]:
13
IF:
3.6
/
4.4
|
Submit date：2019/02/14
Itô Semi-martingale
High-frequency Finance
Co-volatility
Non-synchronous Trading
Idiosyncratic Jumps
Co-jump
Microstructure Noise
