Nonparametric tests for intraday jumps: Impact of periodicity and microstructure noise

C. Boudt, J. Cornelissen, C. Croux, S.F.J.A. Laurent

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

Abstract

Introduction model price jump detection method simulation study comparison on nyse stock prices conclusion.
Original languageEnglish
Title of host publicationHandbook of Volatility Models and Their Applications
EditorsL. Bauwens, C. Hafner, S. Laurent
Place of PublicationLondon
PublisherJohn Wiley & Sons
Pages447-464
Number of pages568
ISBN (Print)978-0-470-87251-2
DOIs
Publication statusPublished - 1 Jan 2012

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