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Jumps in high-frequency data : spurious detections, dynamics, and news

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Published in Management Science. 2015, vol. 62, no. 8, p. 2198-2217
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Other version: http://pubsonline.informs.org/doi/10.1287/mnsc.2015.2234
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BAJGROWICZ, Pierre Georges, SCAILLET, Olivier, TRECCANI, Adrien. Jumps in high-frequency data : spurious detections, dynamics, and news. In: Management Science, 2015, vol. 62, n° 8, p. 2198-2217. https://archive-ouverte.unige.ch/unige:41800

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Deposited on : 2014-11-14

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