Nabil Bouamara, Kris Boudt, Sébastien Laurent, Christopher J. Neely
arXiv 27 Sep 2023 · Econometrics
arXiv:2309.15705 · PDF · DOI · OpenAlex · Extracted main text
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to automatically detect noisy jumps and better approximate the true common jumps in related stock prices.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Li, J., V. Todorov, G. Tauchen, and R. Chen (2017) Mixed-scale jump regressions with bootstrap inference | 1.000 | 7 | 3 | 100% |
| 2 | Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009) Realized kernels in practice: Trades and quotes | 1.000 | 5 | 3 | 100% |
| 3 | Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2011) Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and n… | 1.000 | 5 | 3 | 100% |
| 4 | Bollerslev, T., T. H. Law, and G. Tauchen (2008) Risk, jumps, and diversification | 0.928 | 4 | 3 | 100% |
| 5 | Boudt, K., S. Laurent, A. Lunde, R. Quaedvlieg, and O. Sauri (2017) Positive semidefinite integrated covariance estimation, factorizations and asynchronicity self | 0.843 | 3 | 3 | 100% |
| 6 | Epps, T. W (1979) Comovements in stock prices in the very short run | 0.843 | 3 | 3 | 100% |
| 7 | Li, J., V. Todorov, G. Tauchen, and H. Lin (2019) Rank tests at jump events | 0.843 | 3 | 3 | 100% |
| 8 | Christensen, K., R. C. Oomen, and M. Podolskij (2014) Fact or friction: Jumps at ultra high frequency | 0.737 | 3 | 3 | 67% |
| 9 | Embrechts, P., G. Puccetti, and L. Rüschendorf (2013) Model uncertainty and VaR aggregation | 0.737 | 3 | 3 | 67% |
| 10 | Puccetti, G. and L. Rüschendorf (2012) Computation of sharp bounds on the distribution of a function of dependent risks | 0.737 | 3 | 3 | 67% |
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