High-frequency returns, jumps and the mixture of normals hypothesis

DOI10.1016/J.JECONOM.2010.03.024zbMath1441.62684OpenAlexW3122467152MaRDI QIDQ737271

Bradley S. Paye, Jeff Fleming

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

Mathematics Subject Classification ID

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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