Work

Robust estimation of intraweek periodicity in volatility and jump detection

Year: 2010

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2010.11.005

Authors: Kris Boudt, Christophe Croux, Sébastien Laurent

Institutions: KU Leuven, Maastricht University, UCLouvain

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2164551452

FWCI: 18.37

Cites: 47

Cited by: 188

Related to: 10