Robust estimation of intraweek periodicity in volatility and jump detection

Journal of Empirical Finance

Volumn 18, Issue 2, 2011, Pages 353-367

  Boudt, Kris ^a,b   Croux, Christophe ^a   Laurent, Sébastien ^c,d  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b Lessius University College   (Belgium)

^c MAASTRICHT UNIVERSITY   (Netherlands)

^d UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

High frequency foreign exchange data; Jump detection; Long memory; Periodicity

Indexed keywords

EID: 79951959026     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2010.11.005     Document Type: Article

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