800 West Peachtree St.
Atlanta, GA 30308
United States
Georgia Institute of Technology - Finance Area
Analyst recommendations, high-frequency data, news arrival, jump detection
jump beta, jump modified carry trade, foreign exchange rate, carry trade
Levy jumps, nonparametric tests, belief measure, false detection, high frequency data
foreign currency, jump robust carry trade, jump prediction, general jump regression
mixed unobservability, jump predictor tests, partial likelihood, systematic vs. idiosyncratic risk, jump size clustering, high frequency data
jumps, noise, nonparametric tests, high frequency data
Cryptocurrency, high-frequency data, partial variances, jumps, return prediction
analyst recommendations, stock price efficiency, market microstructure noise, high-frequency data, implied volatility, slope of implied volatility smile
negative jump volatility, FOMC announcement, delayed response, foreign exchange rate
G12, G22, G14