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