MODELING HIGH-FREQUENCY FINANCIAL DATA BY PURE JUMP PROCESSES

By Bing-Yi Jing, Xinbing Kong, Zhi Liu. 2012

65 citations recorded by the source corpus.

HK RGC [HKUST6011/07P, HKUST6015/08P, HKUST6019/10P]; Humanity and Social Science Youth Foundation of Chinese Ministry of Education [12YJC910003]

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4f956020b8f18eb82653c6640d41641e8f3d75c5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Xinbing Kong
2. Zhi Liu
3. Bing-Yi Jing

In Finance

1. Xinbing Kong
2. Zhi Liu
3. Bing-Yi Jing
4. Victor Chernozhukov

Citations in the corpus

• On the number of common factors with high‐frequency data (2017, methodology): “These are commonly used in the literature (see, e.g., Wang & Zou, 2010; Jing et al., 2012a,b; Jacod & Podolskij, 2013; Jacod & Rosenbaum, 2013).”
• Testing for pure-jump processes for high-frequency data (2015, methodology): “QQ-plot of the test statistics given in Jing et al. (2012) for δ = 0.”