Testing for jumps in noisy high frequency data

By Yacine Aït-Sahalia, Jean Jacod, Jia Li. 2012

129 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a603f9c776cbc83b95da6b5e68c9d69d362845db

Citations in the corpus

• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “This parameterization aligns with other papers (e.g., A¨ıt-Sahalia, Jacod, and Li, 2012; A¨ıt-Sahalia and Xiu, 2016; Huang and Tauchen, 2005).”