Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market
DOI10.1080/03610918.2013.786946zbMATH Open1343.62035OpenAlexW2161066003MaRDI QIDQ3178528FDOQ3178528
Publication date: 14 July 2016
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.786946
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Cites Work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- The Distribution of Realized Exchange Rate Volatility
- Testing for jumps in a discretely observed process
- Jump-robust volatility estimation using nearest neighbor truncation
- A note on the central limit theorem for bipower variation of general functions
- Dynamics of intraday serial correlation in China's stock market
- THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
- Measuring downside risk using high-frequency data: realized downside risk measure
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