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~accessRights:"restricted"
~isPartOf:"Economic Modelling"
~isPartOf:"Journal of Econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Working Paper"
~subject:"Nonparametric tests"
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Search: subject:"High-Frequency Data"
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Nonparametric tests
High-frequency data
8
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Lee, Suzanne S.
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The economic value of volatility timing with realized jumps
Nolte, Ingmar
;
Xu, Qi
- In:
Journal of empirical finance
34
(
2015
),
pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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2
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of Econometrics
168
(
2012
)
2
,
pp. 396-406
, we study how to tell apart large shifts in equilibrium prices from noise using
high
frequency
data
. We propose a new …
Persistent link: https://www.econbiz.de/10010574085
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