Effects of intervaling on high-frequency realized higher-order moments

DOI10.1080/14697688.2020.1725100zbMath1454.91239OpenAlexW3015874856MaRDI QIDQ5139222

Richard Mawulawoe Ahadzie, Nagaratnam Jeyasreedharan

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1725100

zbMATH Keywords

realized kurtosishigh-frequency data analysisrealized skewnessholding-intervalintervaling effectsampling-interval

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

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• Jump-diffusion models with constant parameters for financial log-return processes
• Empirical properties of asset returns: stylized facts and statistical issues
• Modeling and Forecasting Realized Volatility
• Random walks, liquidity molasses and critical response in financial markets

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