Long memory behavior of returns after intraday financial jumps
type: Item
instance of: scholarly article
title: Long memory behavior of returns after intraday financial jumps
zbMATH Open document ID: 1400.91673
author: Stefan Kambiz Behfar
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B80
zbMATH DE Number: 6978373
zbMATH Keywords: intraday financial jump
zbMATH Keywords: financial return
zbMATH Keywords: power-law distribution
zbMATH Keywords: realized volatility
zbMATH Keywords: bi-power variation
zbMATH Keywords: long memory behavior
MaRDI profile type: Publication
full work available at URL: j.physa.2016.06.026
OpenAlex ID: W2432736363
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: Long memory in continuous-time stochastic volatility models
cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
cites work: Power laws in economics and finance: some ideas from physics
cites work: Estimation of jump tails
DOI: 10.1016/J.PHYSA.2016.06.026
description: scientific article; zbMATH DE number 6978373