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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree, (2020)
Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Dong, Yingjie, (2017)
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A., (2019)
Annals issue in honor of Jerry A. Hausman : editors' introduction
Aït-Sahalia, Yacine, (2019)
A Hausman test for the presence of market microstructure noise in high frequency data
Special issue: annals issue in honor of Jerry A. Hausman