A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
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Volume (Year): 14 (2010)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes,"
Economics Series Working Papers
2003-W12, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
- Martin Becker & Ralph Friedmann & Stefan Klößner & Walter Sanddorf-Köhle, 2007. "A Hausman test for Brownian motion," AStA Advances in Statistical Analysis, Springer, vol. 91(1), pages 3-21, March.
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