High-frequency returns, jumps and the mixture of normals hypothesis
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Publication:737271
DOI10.1016/J.JECONOM.2010.03.024zbMath1441.62684OpenAlexW3122467152MaRDI QIDQ737271
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.024
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Estimating stochastic volatility models using realized measures ⋮ Realized wavelet-based estimation of integrated variance and jumps in the presence of noise ⋮ Effects of intervaling on high-frequency realized higher-order moments
Cites Work
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