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

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

doi:10.1002/9781118272039.ch18

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

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

Quantitative Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic

Abstract

Introduction model price jump detection method simulation study comparison on nyse stock prices conclusion.

Original language	English
Title of host publication	Handbook of Volatility Models and Their Applications
Editors	L. Bauwens, C. Hafner, S. Laurent
Place of Publication	London
Publisher	John Wiley & Sons Inc.
Pages	447-464
Number of pages	568
ISBN (Print)	978-0-470-87251-2
DOIs	https://doi.org/10.1002/9781118272039.ch18
Publication status	Published - 1 Jan 2012

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title = "Nonparametric tests for intraday jumps: Impact of periodicity and microstructure noise",

abstract = "Introduction model price jump detection method simulation study comparison on nyse stock prices conclusion.",

author = "C. Boudt and J. Cornelissen and C. Croux and S.F.J.A. Laurent",

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AU - Croux, C.

AU - Laurent, S.F.J.A.

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M3 - Chapter

SN - 978-0-470-87251-2

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EP - 464

BT - Handbook of Volatility Models and Their Applications

A2 - Bauwens, L.

A2 - Hafner, C.

A2 - Laurent, S.

PB - John Wiley & Sons Inc.

CY - London

ER -

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

Abstract

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