Rasmussen, Torben B. - School of Economics and Management, University of Aarhus - 2009
what the observation frequency is. Market microstructure effects in relation to news-induced revaluation of the underlying … tests comparing measures of variability. Resolving the matter by testing at lower frequencies turns out to be less …Asymptotic properties of jump tests rely on the property that any jump occurs within a single time interval no matter …