Jumps and Information Flow in Financial Markets
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/25/2/439/5473418/hhr084.pdf
Reference34 articles.
1. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
2. Disentangling diffusion from jumps
3. Estimating the degree of activity of jumps in high frequency data
4. Testing for jumps in a discretely observed process
5. Andersen PK Borgan O Gill RD Keiding N . Statistical Models Based on Counting Processes. New York: Springer-Verlag; 1992.
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