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A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data. (2013). Bos, Charles ; Janus, Pawel .
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20130155.

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  1. On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02296832.

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  2. On the Dependence between Quantiles and Dispersion Estimators. (2018). Marie, Kratz ; Marcel, Brautigam.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-18007.

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References

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  3. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
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  4. Jumps and Information Asymmetry in the US Treasury Market. (2016). Urga, Giovanni ; DUMITRU, ANA-MARIA.
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  5. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia .
    In: Econometrics.
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  6. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
    In: Journal of Empirical Finance.
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  7. A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan .
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  8. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle.
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  9. The Drift Burst Hypothesis. (2016). Christensen, Kim ; Reno, Roberto ; Oomen, Roel.
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  10. The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying ; Tian, Jing.
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  11. Cojumps in Chinas spot and stock index futures markets. (2015). Wang, Hao ; Zhao, Hua ; Yue, Mengqi .
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  12. Macroannouncements, bond auctions and rating actions in the European government bond spreads. (2015). Urga, Giovanni ; Boffelli, Simona .
    In: Journal of International Money and Finance.
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  13. Which continuous-time model is most appropriate for exchange rates?. (2015). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
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  14. Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach. (2015). JAWADI, Fredj ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi.
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  15. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
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  17. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey ; Reno, Roberto.
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  18. Review of the Stochastic Properties of CO2 Futures Prices. (2014). Chevallier, Julien.
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  21. The intra-day impact of communication on euro-dollar volatility and jumps. (2014). Gnabo, Jean-Yves ; Erdemlioglu, Deniz ; Dewachter, Hans ; Lecourt, Christelle.
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