Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Rodrigo Hizmeri, Marwan Izzeldin, Giovanni Urga

Year of publication:	[2025]
Authors:	Hizmeri, Rodrigo ; Izzeldin, Marwan ; Urga, Giovanni
Publisher:	London : Centre for Econometric Analysis, Bayes Business School
Subject:	High-frequency data \| infinite jumps \| finite jumps \| Brownian motion \| price staleness \| microstructure noise \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Marktmikrostruktur \| Market microstructure \| Zeitreihenanalyse \| Time series analysis \| Börsenkurs \| Share price \| Optionspreistheorie \| Option pricing theory \| Noise Trading \| Noise trading \| Nichtparametrisches Verfahren \| Nonparametric statistics

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