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

Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani (2016)

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DOI: 10.1287/MNSC.2015.2234

access: closed

type: Journal Article

metadata version: 2020-06-30

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  - journals/mansci/BajgrowiczST16
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  - https://dblp.org/rec/journals/mansci/BajgrowiczST16
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani:
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. Manag. Sci. 62(8): 2198-2217 (2016)

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