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ArticleTrading activity, realized volatility and jumps

Pierre Giot2009

Article2009

Trading activity, realized volatility and jumps

Pierre Giot · Sébastien Laurent · Mikael J. K. Petitjean

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

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

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1976Option pricing when underlying stock returns are discontinuous 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey

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Year2009

Typearticle

Published2009-07-17

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations159

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2009.07.001

openalex_workW2173200133

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2020

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