Non-Gaussianity of the Intraday Returns Distribution: its evolution in time
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References listed on IDEAS
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007.
"Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility,"
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- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, Department of Economics and Business Economics, Aarhus University.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
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