Fact or friction: Jumps at ultra high frequency
Year of publication: |
2014
|
---|---|
Authors: | Christensen, Kim ; Oomen, Roel C.A. ; Podolskij, Mark |
Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 114.2014, 3, p. 576-599
|
Publisher: |
Elsevier |
Subject: | Jump variation | High-frequency data | Microstructure noise | Pre-averaging | Realized variation |
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