Naslov
INTENSITY AND THE SIZE OF PRICE JUMPS

Autori
Arnerić, Josip

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
19th International Conference on Operational Research - KOI 2022

Mjesto i datum
Šibenik, Hrvatska, 28.09.2022. - 30.09.2022

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
bipower variation ; Barndorff-Nielsen and Shephard test ; intensity ; jumps

Sažetak
Technological advances and increasing availability of high-frequency data observed at very short time intervals, e.g. every minute or second, have enabled to use more complete information for nonparametric estimation of the continuous stochastic price process. Therewith, the jump component which is commonly described by the Poisson stochastic process, additively appends the Itô process components with time-varying parameters. Adding the price jumps to the stochastic price process significantly changes traditional understanding of the financial asset pricing models and has serious implications on financial risk management. Therefore, the objectives of this paper are theoretical explanation of the causes and the consequences of the price jumps, empirical identification of the price jumps and determination of their contribution to the total variance of returns at Croatian stock market.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA