Realized candlestick wicks
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Cites work
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- An unbounded intensity model for point processes
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- Do price and volatility jump together?
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- scientific article; zbMATH DE number 3716646 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
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- On blocking rules for the bootstrap with dependent data
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- Real-time detection of local no-arbitrage violations
- Realized kernels in practise : trades and quotes
- Realized range-based estimation of integrated variance
- Specification Tests in Econometrics
- Testing for jumps in a discretely observed process
- The drift burst hypothesis
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- The Model Confidence Set
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- Volatility jumps
- Volatility measurement with pockets of extreme return persistence
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