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Are there discontinuities in financial prices?

Neil Shephard

in Celebrating Statistics: Papers in honour of Sir David Cox on his 80th birthday

Published in print:
2005
Published Online:
September 2007
ISBN:
9780198566540
eISBN:
9780191718038
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566540.003.0012
Subject:
Mathematics, Probability / Statistics

This chapter explores whether there are discontinuities in financial price processes using daily data on the Japanese yen and United States dollar. It opens with a brief description of the data, ... More


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