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High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis · Study

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ArticleHigh-Frequency Returns, Jumps and the Mixture of Normals Hypothesis

Jeff Fleming2006

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High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis

Jeff Fleming · Bradley S. Paye

28 citations·0/0 files stored·Journal of Econometrics

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

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References

2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

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Year2006

Typearticle

Published2006-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2010.03.024

openalex_workW3122467152

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