A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
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DOI: 10.1007/s00780-009-0088-x
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More about this item
Keywords
Intraday returns; (Time-changed) Lévy processes; Intraday up- and downside volatility; Permutation tests; 91B28; 60G51; 62G10; C14; C52; G12;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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