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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-368
Persistent link: https://www.econbiz.de/10008849033
Cover Image
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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Funding liquidity, market liquidity and TED spread : a two-regime model
Boudt, Kris; Paulus, Ellen C. S.; Rosenthal, Dale W. R. - In: Journal of empirical finance 43 (2017), pp. 143-158
Persistent link: https://www.econbiz.de/10011817948