Open AccessData-Driven Jump Detection Thresholds for Application in Jump Regressions
Author(s) -
Robert B. Davies,
George Tauchen
Publication year - 2015
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2768899
Subject(s) - jump , econometrics , statistics , mathematics , computer science , pattern recognition (psychology) , artificial intelligence , physics , quantum mechanics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom