Identifying events in financial time series – A new approach with bipower variation-Reference-Cited by-同舟云学术

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Identifying events in financial time series – A new approach with bipower variation

Published:2017-08 Issue: Volume:22 Page:42-48
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Andor György,Bohák András^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference13 articles.

1. Disentangling diffusion from jumps;Aït-Sahalia;J. Financ. Econ.,2004

2. Jump-robust volatility estimation using nearest neighbor truncation;Andersen;J. Econ.,2012

3. Great realizations;Andersen;Risk,2000

4. Econometrics of testing for jumps in financial economics using bipower variation;Barndorff-Nielsen;J. Econ,2006

5. Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks;Boudt;J. Financ. Markets,2014

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2. Is a co-jump in prices a sparse jump?;The North American Journal of Economics and Finance;2023-07

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