Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Year of publication: |
2024
|
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Authors: | Saef, Danial ; Nagy, Odett ; Sizov, Sergej ; Härdle, Wolfgang Karl |
Published in: |
Digital Finance. - Cham : Springer International Publishing, ISSN 2524-6186. - Vol. 6.2024, 4, p. 605-638
|
Publisher: |
Cham : Springer International Publishing |
Subject: | Jumps | Market microstructure noise | High-frequency data | Cryptocurrencies | CRIX | Option pricing |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s42521-024-00116-1 [DOI] |
Classification: | C01 - Econometrics ; C02 - Mathematical Methods ; C14 - Semiparametric and Nonparametric Methods ; c58 |
Source: |
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