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13-155/III - A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data


  • Authors
    Charles S. Bos, VU University Amsterdam; Pawel Janus, VU University Amsterdam
  • Publication date
    October 4, 2013
  • Keywords
    Finite activity jumps, higher order moments, order statistics, outliers, realized variation.
  • JEL
    C10, C12, G12