Jumps in high-frequency data : spurious detections, dynamics, and news
ContributorsBajgrowicz, Pierre Georges; Scaillet, Olivier
Published inManagement science, vol. 62, no. 8, p. 2198-2217
Publication date2015
UNIGE affiliation entities
Citation (ISO format)
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. doi: 10.1287/mnsc.2015.2234
Main files (2)
Article (Submitted version)
Article (Published version)
Identifiers
- PID : unige:41800
- DOI : 10.1287/mnsc.2015.2234
Journal ISSN0025-1909
