A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
Year of publication: |
2013-10-04
|
---|---|
Authors: | Bos, Charles S. ; Janus, Pawel |
Institutions: | Tinbergen Instituut |
Subject: | Finite activity jumps | higher order moments | order statistics | outliers | realized variation |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 13-155/III |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; G12 - Asset Pricing |
Source: |
-
Bos, Charles S., (2013)
-
Bos, Charles S., (2013)
-
Realised Quantile-Based Estimation of the Integrated Variance
Christensen, Kim, (2009)
- More ...
-
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S., (2009)
-
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel, (2011)
-
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Janus, Pawel, (2014)
- More ...