Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

By Ana-Maria H. Dumitru, G. Urga. 2011

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a938da0a25c1ed40e4764ed9355af3024bf11022

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. Roberto Renò
2. Massimiliano Caporin
3. A. Kolokolov

In Finance

1. Roberto Renò
2. Massimiliano Caporin
3. A. Kolokolov

Citations in the corpus

• Systemic Co-Jumps (2017, result): “We confirm the findings in the literature [see Dumitru and Urga, 2012 for a wider comparison].”