Journal article

Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures

Worapree Maneesoonthorn, Catherine S Forbes, Gael M Martin

Journal of Applied Econometrics | WILEY | Published : 2017

University of Melbourne Researchers


Awarded by Australian Research Council

Funding Acknowledgements

The authors would like to thank three anonymous referees and a co-editor for very detailed and constructive comments on earlier drafts of the paper. We also thank Yacine Ait-Sahalia, John Maheu, Eric Renault, George Tauchen, Victor Todorov and Herman van Dijk for very constructive comments at various stages in the development of the paper, plus the participants at the Society of Financial Econometrics Annual Conference, 2014, the International Association for Applied Econometrics Conference, 2014, and the Econometric Society Australasian Meetings, 2014. The research has been supported by Australian Research Council Discovery Grant DP150101728.