Author:
Alexeev Vitali,Dungey Mardi,Yao Wenying
Subject
Economics and Econometrics,Finance
Reference31 articles.
1. Analyzing the spectrum of asset returns: jump and volatility components in high frequency data;Aït-Sahalia;J. Econ. Lit.,2012
2. Anand, Amber, A., Irvine, R., Puckett, A., Venkataraman, K., 2013. Institutional trading and stock resiliency: evidence from the 2007–2009 financial crisis, J. Financ. Econ. 108, pp. 773–797.
3. Modelling and forecasting realized volatility;Andersen;Econometrica,2003
4. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;Rev. Econ. Stat.,2007
5. ‘Separating microstructure noise from volatility;Bandi;J. Financ. Econ.,2006
Cited by
22 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献