Long memory behavior of returns after intraday financial jumps

DOI10.1016/j.physa.2016.06.026zbMath1400.91673OpenAlexW2432736363MaRDI QIDQ1619836

Stefan Kambiz Behfar

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.026

zbMATH Keywords

realized volatilitypower-law distributionbi-power variationfinancial returnintraday financial jumplong memory behavior

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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Cites Work

• Long memory in continuous-time stochastic volatility models
• Estimation of Jump Tails
• Power laws in economics and finance: some ideas from physics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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