Ana-Maria H. Dumitru

University of Surrey, School of Economics

Guildford

Surrey GU2 7XH

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

686

SSRN CITATIONS
Rank 27,825

SSRN RANKINGS

Top 27,825

in Total Papers Citations

14

CROSSREF CITATIONS

18

Scholarly Papers (5)

1.

Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests [Extended Version]

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 44 Posted: 15 Oct 2011
Ana-Maria H. Dumitru and Giovanni Urga
University of Surrey, School of Economics and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 408 (103,424)
Citation 14

Abstract:

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jumps, nonparametric tests, high frequency data, stochastic volatility, Monte Carlo simulations

2.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Number of pages: 52 Posted: 11 Jun 2019 Last Revised: 16 Apr 2021
Ana-Maria H. Dumitru, Rodrigo Hizmeri and Marwan Izzeldin
University of Surrey, School of Economics, University of Liverpool - Management School (ULMS) and Lancaster University Management School
Downloads 87 (401,493)

Abstract:

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realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, realized jumps

3.

Jumps and Information Asymmetry in the US Treasury Market

Number of pages: 44 Posted: 05 Apr 2016
Ana-Maria H. Dumitru and Giovanni Urga
University of Surrey, School of Economics and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 86 (404,245)

Abstract:

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Jumps, Nonparametric Tests, High Frequency Data, US Treasury Market, Macroeconomic News, Information Asymmetry

4.

Bootstrap Methods for the Realized Bipower Variation and for Jump Testing

Number of pages: 43 Posted: 16 Jan 2013 Last Revised: 01 Aug 2014
Ana-Maria H. Dumitru
University of Surrey, School of Economics
Downloads 80 (421,926)

Abstract:

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jumps, nonparametric tests, bootstrap, realized bipower variation, median realized variation

5.

Market Credit Risk in Europe

Number of pages: 43 Posted: 30 Mar 2017
Ana-Maria H. Dumitru and Thomas Holden
University of Surrey, School of Economics and University of Surrey - Department of Economics
Downloads 25 (675,546)

Abstract:

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sovereign CDS, default risk, contagion, marked self-excited multivariate process, nonstationarity, maximum likelihood