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Jump Regressions

Jump regressions
descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2017 United States, Singapore English Publisher:The Econometric SocietyJournal:Econometrica, volume 85, pages 173-195 (issn: 0012-9682, Copyright policy )
Authors: Tauchen, GE; Li, J; Todorov, V;

doi: 10.3982/ecta12962

handle: 10161/13285

Jump Regressions

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Countries
United States, Singapore
Related Organizations
Keywords

jumps, semimartingale, LAMN, 796, high-frequency data, specification test, Time series, auto-correlation, regression, etc. in statistics (GARCH), General nonlinear regression, efficient estimation, regression, Econometrics, Martingales with discrete parameter, Jump processes, stochastic volatility, Applications of statistics to economics, Economic Theory

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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
59
Top 10%
Top 10%
Top 1%
Green
bronze