Ana-Maria H. Dumitru

University of Surrey, School of Economics

Guildford

Surrey GU2 7XH

United Kingdom

  • University of Surrey, School of Economics

SCHOLARLY PAPERS

5

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593

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12

CROSSREF CITATIONS

18

Scholarly Papers (5)

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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, Cass Business School, London, UK and University of Bergamo, Italy
Downloads 378 (90,331)
Citation 11

Abstract:

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

2.

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, Cass Business School, London, UK and University of Bergamo, Italy
Downloads 83 (340,679)

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

3.

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 77 (355,993)

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

4.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Number of pages: 41 Posted: 11 Jun 2019
Ana-Maria H. Dumitru, Rodrigo Hizmeri and Marwan Izzeldin
University of Surrey, School of Economics, Lancaster University and Lancaster University Management School
Downloads 37 (496,723)

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

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 18 (606,720)

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