Nonparametric Tests for Intraday Jumps: Impact of Periodicity and Microstructure Noise

Kris Boudt*, Jonathan Cornelissen, Christophe Croux, Sébastien Laurent

*Corresponding author for this work

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

Original languageEnglish
Title of host publicationHandbook of Volatility Models and Their Applications
PublisherJohn Wiley and Sons
Pages447-463
Number of pages17
ISBN (Print)9780470872512
DOIs
Publication statusPublished - 2012

Keywords

  • Nonparametric for intraday jumps, periodicity and noise
  • NYSE stock price comparison
  • Simulation study, intraday differences and test statistics

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