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~isPartOf:"Journal of Econometrics"
~isPartOf:"Working Paper"
~subject:"Jumps"
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Search: subject:"High-Frequency Data"
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Jumps
high-frequency data
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Bollerslev, Tim
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Lee, Suzanne S.
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Li, Sophia Zhengzi
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Mykland, Per A.
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Todorov, Viktor
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of Econometrics
172
(
2013
)
2
,
pp. 307-324
, and show how the jump tail dependencies deduced from the
high-frequency
data
together with the day-to-day variation in the …
Persistent link: https://www.econbiz.de/10011052337
Saved in:
2
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of Econometrics
168
(
2012
)
2
,
pp. 396-406
, we study how to tell apart large shifts in equilibrium prices from noise using
high
frequency
data
. We propose a new …
Persistent link: https://www.econbiz.de/10010574085
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