Autor:	Bouamara, Nabil, Boudt, Kris, Laurent, Sébastien, Neely, Christopher J.
Rok vydání:	2023
Předmět:	Economics - Econometrics
Druh dokumentu:	Working Paper
Popis:	Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to automatically detect noisy jumps and better approximate the true common jumps in related stock prices. Comment: 30 pages, 8 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2309.15705 Zobrazit plný text záznamu View this record from Arxiv