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Trading activity, realized volatility and jumps
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Document type | Article de périodique (Journal article) |
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Access type | Accès libre |
Publication date | 2010 |
Language | Anglais |
Journal information | "Journal of Empirical Finance" - Vol. 17, no. 1, p. 168-175 (Janvier 2010) |
Peer reviewed | yes |
Publisher | Elsevier Science B.V., Amsterdam. |
issn | 0927-5398 |
Publication status | Publié |
Affiliations |
Louvain School of Management
- Accounting & Finance FUCaM - Sciences de gestion FUNDP - ECO_CeReFIM (Centre de recherche en finance) |
Keywords | Volume ; Volatility ; Transactions ; Jumps ; Bi-power variation |
Links |
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Bibliographic reference | Petitjean, Mikael ; Giot, Pierre ; Laurent, Sébastien. Trading activity, realized volatility and jumps. In: Journal of Empirical Finance, Vol. 17, no. 1, p. 168-175 (Janvier 2010) |
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Permanent URL | http://hdl.handle.net/2078/28925 |