TY - CHAP
T1 - Nonparametric Tests for Intraday Jumps
T2 - Impact of Periodicity and Microstructure Noise
AU - Boudt, Kris
AU - Cornelissen, Jonathan
AU - Croux, Christophe
AU - Laurent, Sébastien
PY - 2012
Y1 - 2012
KW - Nonparametric for intraday jumps, periodicity and noise
KW - NYSE stock price comparison
KW - Simulation study, intraday differences and test statistics
UR - http://www.scopus.com/inward/record.url?scp=84886345488&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84886345488&partnerID=8YFLogxK
U2 - 10.1002/9781118272039.ch18
DO - 10.1002/9781118272039.ch18
M3 - Chapter
AN - SCOPUS:84886345488
SN - 9780470872512
SP - 447
EP - 463
BT - Handbook of Volatility Models and Their Applications
PB - John Wiley and Sons
ER -