Guildford
Surrey GU2 7XH
United Kingdom
University of Surrey, School of Economics
SSRN RANKINGS
in Total Papers Citations
jumps, nonparametric tests, high frequency data, stochastic volatility, Monte Carlo simulations
Jumps, Nonparametric Tests, High Frequency Data, US Treasury Market, Macroeconomic News, Information Asymmetry
jumps, nonparametric tests, bootstrap, realized bipower variation, median realized variation
realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, realized jumps
sovereign CDS, default risk, contagion, marked self-excited multivariate process, nonstationarity, maximum likelihood