Realized candlestick wicks

DOI10.1016/J.JECONOM.2025.106014MaRDI QIDQ6962719zbMATH OpenFDO

Authors Y. F. Li, Ingmar Nolte, Sandra Nolte, Shifan Yu

Publication date 8 July 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

high-frequency dataintegrated varianceextreme price movementsrange-based volatility estimationdrift burst

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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