Long memory behavior of returns after intraday financial jumps - Research Collection

Metadata only

Author

Behfar, Stefan K.

Date

2016-11

Type

Journal Article

Citations

Cited 2 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.physa.2016.06.026

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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Citations

Cited 2 times in Scopus

ETH Bibliography

yes

Altmetrics