State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices-Reference-Cited by-同舟云学术

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State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices

Published:2024-10 Issue: Volume:95 Page:103412
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Tsai Ping Chen,Eom Cheoljun,Wang Chou Wen

Publisher

Elsevier BV

Reference46 articles.

1. The impact of COVID-19 on tail risk: Evidence from nifty index options;Agarwalla;Economics Letters,2021

2. What factors are associated with stock price jumps in high frequency?;Ahn;Pacific-Basin Finance Journal,2021

3. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

4. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

5. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;Andersen;Review of Economics and Statistics,2007

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