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Jumps in high frequency time series: determinants and informational content
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Document type | Thèse (Dissertation) |
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Access type | Accès interdit |
Publication date | 2009 |
Language | Anglais |
Degree | (DOCSESG00) -- FUNDP, 2009 |
Defense date | 01/07/2009 |
Promotors | Laurent, Sébastien |
Affiliation | FUNDP - ECO_CeReFIM (Centre de recherche en finance) |
Keywords | Econometrics ; Time-series ; Rumors ; Forecasting ; Financial data ; High-frequency ; Volatility ; Jumps ; Exchange rates ; Central bank ; Intervention ; Macroeconomic announcement |
Links |
Bibliographic reference | Lahaye, Jérôme. Jumps in high frequency time series: determinants and informational content. Prom. : Laurent, Sébastien |
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Permanent URL | http://hdl.handle.net/2078.2/29692 |