Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
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Elsevier BV
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1. Using Portfolio Returns to Estimate the Probability of Large Jumps;SSRN Electronic Journal;2019
2. Detecting Jumps in High-Frequency Prices Under Stochastic Volatility: A Review and a Data-Driven Approach;Handbook of High-Frequency Trading and Modeling in Finance;2016-04-08
3. Cluster Analysis of Jumps on Capital Markets;Politická ekonomie;2016-04-01
4. Cojumps in stock prices: Empirical evidence;Journal of Banking & Finance;2014-03
5. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks;Journal of Financial Markets;2014-01
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