Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News-Reference-Cited by-同舟云学术

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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Published:2016-08 Issue:8 Volume:62 Page:2198-2217
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Bajgrowicz Pierre,Scaillet Olivier,Treccani Adrien

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2015.2234

Reference64 articles.

1. Adapting to unknown sparsity by controlling the false discovery rate

2. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion

3. Disentangling diffusion from jumps

4. Testing for jumps in a discretely observed process

5. Ultra high frequency volatility estimation with dependent microstructure noise

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