Advanced search

Robust estimation of intraweek periodicity in volatility and jump detection

(2011) JOURNAL OF EMPIRICAL FINANCE. 18(2). p.353-367
Author
Organization
Keywords
MACROECONOMIC ANNOUNCEMENTS, RETURN VOLATILITY, INFORMATION, DYNAMICS, PATTERNS, MARKETS, MODELS, RUN, High-frequency foreign exchange data, Jump detection, Long memory, Periodicity

Citation

Please use this url to cite or link to this publication:

Chicago
Boudt, Kris, Christophe Croux, and Sebastien Laurent. 2011. “Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection.” Journal of Empirical Finance 18 (2): 353–367.
APA
Boudt, K., Croux, C., & Laurent, S. (2011). Robust estimation of intraweek periodicity in volatility and jump detection. JOURNAL OF EMPIRICAL FINANCE, 18(2), 353–367.
Vancouver
1.
Boudt K, Croux C, Laurent S. Robust estimation of intraweek periodicity in volatility and jump detection. JOURNAL OF EMPIRICAL FINANCE. 2011;18(2):353–67.
MLA
Boudt, Kris, Christophe Croux, and Sebastien Laurent. “Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection.” JOURNAL OF EMPIRICAL FINANCE 18.2 (2011): 353–367. Print.
@article{8600233,
  author       = {Boudt, Kris and Croux, Christophe and Laurent, Sebastien},
  issn         = {0927-5398},
  journal      = {JOURNAL OF EMPIRICAL FINANCE},
  keywords     = {MACROECONOMIC ANNOUNCEMENTS,RETURN VOLATILITY,INFORMATION,DYNAMICS,PATTERNS,MARKETS,MODELS,RUN,High-frequency foreign exchange data,Jump detection,Long memory,Periodicity},
  language     = {eng},
  number       = {2},
  pages        = {353--367},
  title        = {Robust estimation of intraweek periodicity in volatility and jump detection},
  url          = {http://dx.doi.org/10.1016/j.jempfin.2010.11.005},
  volume       = {18},
  year         = {2011},
}

Altmetric
View in Altmetric
Web of Science
Times cited: