Author:
Bollerslev Tim,Law Tzuo Hann,Tauchen George
Subject
Applied Mathematics,Economics and Econometrics
Reference33 articles.
1. Ait-Sahalia, Y., Jacod, J., 2008. Testing for jumps in a discretely observed process. Annals of Statistics, forthcoming.
2. How often to sample a continuous time process in the presence of market microstructure noise;Ait-Sahalia;Review of Financial Studies,2005
3. Trading mechanisms and stock returns: an empirical investigation;Amihud;Journal of Finance,1987
4. Deutschemark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;Journal of Finance,1998
5. Great realizations;Andersen;Risk,2000
Cited by
221 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献