Robust estimation of intraweek periodicity in volatility and jump detection
Kris Boudt; Christophe Croux; Sébastien Laurent
| Year of publication: |
2011
|
|---|---|
| Authors: | Boudt, Kris ; Croux, Christophe ; Laurent, Sébastien |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 2, p. 353-367
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| Subject: | High-frequency foreign exchange data | Jump detection | Long memory | Periodicity | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009301110