An intraday range model with leverage effect in intraday volatility pattern
Leverage Effect in Volatility and Price Jumps: New Empirical Evidence
Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from Exchange Rate
Modelling Over-Dispersion in Price Jumps Arrivals: A Comparison between Poisson Mixtures and Linear Hawkes Model
Some Research Results on Range and Skewness from Teaching Introductory Statistics Using High-frequency Financial Data
How stochastic are the innovations to a comprehensive volatility model? A point process analysis on high-frequency data
Identifying leverage effect in intra-day volatility pattern: Toward a functional data analysis
Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from CHF/EUR Exchange Rate
Applying Statistical Thinking to Bank's Know-Your-Customer (KYC) Questions Design
Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data
Testing for Jumps in Prices under Jump-Driven Leverage Effect in Volatility: A Simulation Study
Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data
Testing for Jumps in Prices Under Jump-Driven Leverage Effect in Volatility: A Simulation Study