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Jumps in high-frequency data : spurious detections, dynamics, and news

Pierre Bajgrowicz; Olivier Scaillet
Year of publication:
2011
Authors: Bajgrowicz, Pierre ; Scaillet, Olivier
Publisher: Genève : HEC
Subject: Börsenkurs | Share price | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | USA | United States | 2006-2008
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