Outlyingness weighted covariation

Journal of Financial Econometrics

Volumn 9, Issue 4, 2011, Pages 657-684

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

^a UNIVERSITY OF LEUVEN   (Belgium)

^b MAASTRICHT UNIVERSITY   (Netherlands)

^c UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Continuous time methods; High frequency data; Jump robustness; Quadratic covariation; Realized covolatility

Indexed keywords

EID: 80053210404     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr003     Document Type: Article

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