800 West Peachtree Street NW
Atlanta, GA 30332
Georgia Institute of Technology - Finance Area
in Total Papers Downloads
in Total Papers Citations
Analyst recommendations, high-frequency data, news arrival, jump detection
Levy jumps, nonparametric tests, belief measure, false detection, high frequency data
mixed unobservability, jump predictor tests, partial likelihood, systematic vs. idiosyncratic risk, jump size clustering, high frequency data
jumps, noise, nonparametric tests, high frequency data
jump beta, jump modified carry trade, foreign exchange rate, carry trade
foreign currency, jump robust carry trade, jump prediction, general jump regression
G12, G22, G14
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