Robust estimation of intraweek periodicity in volatility and jump detection

Kris Boudt, Christophe Croux and Sabéastien Laurent

No 2411, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2011-01-01
Note: In : Journal of Empirical Finance, 18(2), 353-367, 2011
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Journal Article: Robust estimation of intraweek periodicity in volatility and jump detection (2011)
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