Long memory behavior of returns after intraday financial jumps

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Author
Behfar, Stefan K.
Date
2016-11
Type
  • Journal Article
Publication status
published
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Journal / series
Physica A: Statistical Mechanics and its Applications
Volume
461
Pages / Article No.
716 - 725
Publisher
Elsevier
Subject
Bi-power variation; Financial return; Intraday financial jump; Long memory behavior; Power-law distribution; Realized volatility
Notes
Received 7 December 2015, Revised 3 April 2016, Published online 14 June 2016.
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