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

Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. Management Science, 62(8):2198-2217, 2016. [doi]

Authors

Pierre Bajgrowicz

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Olivier Scaillet

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Adrien Treccani

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