Jump detection with wavelets for high-frequency financial time series

By Yi Xue, Ramazan Gencay, Stephen Fagan. 2014

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dfeac14d6db85cd31b039ed4aa07272f6990da23

Citations in the corpus

• Multi-scale tests for serial correlation (2015, unknown): “Within a similar framework, Xue et al. (2014) propose discrete waveletbased jump tests to detect jump arrival times in high frequency financial time series data. to the nonparametric spectral density are not of the first order of importance.”