Robert Davies

Duke University, Department of Economics, Students

PhD Student

Durham, NC

United States

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Scholarly Papers (1)

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Data-Driven Jump Detection Thresholds for Application in Jump Regressions

Economic Research Initiatives at Duke (ERID) Working Paper No. 213
Number of pages: 35 Posted: 25 Apr 2016
Robert Davies and George Tauchen
Duke University, Department of Economics, Students and Duke University - Economics Group
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Abstract:

efficient estimation, high-frequency data, jumps, semimartingale, specification test, stochastic volatility