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

Bajgrowicz, Pierre Georges; Scaillet, Olivier; Treccani, Adrien

doi:10.1287/mnsc.2015.2234

Scientific article

English

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

ContributorsBajgrowicz, Pierre Georges; Scaillet, Olivier

; Treccani, Adrien

Published inManagement science, vol. 62, no. 8, p. 2198-2217

Publication date2015

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

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

Article (Submitted version)

Article (Published version)

Identifiers

PID : unige:41800
DOI : 10.1287/mnsc.2015.2234

ISSN of the journal0025-1909

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830downloads

Creation11/14/2014 12:56:00 AM

First validation11/14/2014 12:56:00 AM

Update time03/14/2023 10:15:02 PM

Status update03/14/2023 10:15:02 PM

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

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