A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns

Stefan Klößner ()

Finance and Stochastics, 2010, vol. 14, issue 1, 12 pages

Keywords: Intraday returns; (Time-changed) Lévy processes; Intraday up- and downside volatility; Permutation tests; 91B28; 60G51; 62G10; C14; C52; G12 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00780-009-0088-x

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