High-frequency returns, jumps and the mixture of normals hypothesis REALIZED VOLATILITY

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Bibliographic Details
Published inJournal of econometrics Vol. 160; no. 1; pp. 119 - 128
Main Authors FLEMING, Jeff, PAYE, Bradley S
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier 2010
Subjects
Applications
Exact sciences and technology
Insurance, economics, finance
Linear inference, regression
Mathematics
Probability and statistics
Sciences and techniques of general use
Statistics
Mixed distribution
Data analysis
Covariance analysis
Variance estimation
Gaussian distribution
Daily variation
Kernel estimation
Statistical estimation
Kernel estimator
Variance analysis
Variance
Statistical method
Statistical regression
Coefficient of kurtosis
Price
Standard deviation
Econometrics
Stock price
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ISSN:0304-4076
1872-6895