Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures

B-Tier
Journal: Journal of Applied Econometrics
Year: 2017
Volume: 32
Issue: 3
Pages: 504-532

Authors (3)

Worapree Maneesoonthorn (not in RePEc) Catherine S. Forbes (Monash University) Gael M. Martin (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:wly:japmet:v:32:y:2017:i:3:p:504-532
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25