SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Robust estimation of intraweek periodicity in volatility and jump detection · Study

ArticleShelves

ArticleRobust estimation of intraweek periodicity in volatility and jump detection

Kris Boudt2010

Article2010

Robust estimation of intraweek periodicity in volatility and jump detection

Kris Boudt · Christophe Croux · Sébastien Laurent

188 citations·0/0 files stored·Journal of Empirical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 188 citations exist upstream.

References

1994Modelling of extremal events in insurance and finance 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 1997Intraday periodicity and volatility persistence in financial markets 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Cited by

2018Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics 2013Cojumps in stock prices: Empirical evidence 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 2014Estimating spot volatility with high-frequency financial data 2012Robust forecasting of dynamic conditional correlation GARCH models

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisitedarticle · 10 shared references 2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Modelsarticle · 9 shared references 2009Empirical evidence on jumps in the term structure of the US Treasury Marketarticle · 9 shared references 2014The intra-day impact of communication on euro-dollar volatility and jumpsarticle · 9 shared references 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Modelspreprint · 9 shared references 2011Common Intraday Periodicityarticle · 9 shared references

Details

Year2010

Typearticle

Published2010-11-24

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations188

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jempfin.2010.11.005

openalex_workW2164551452

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2011Outlyingness Weighted Covariation

2014The intra-day impact of communication on euro-dollar volatility and jumps

2012On the volatility–volume relationship in energy futures markets using intraday data