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1407.4376
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Common price and volatility jumps in noisy high-frequency data
16 July 2014
M. Bibinger
Lars Winkelmann
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Papers citing
"Common price and volatility jumps in noisy high-frequency data"
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Title
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
M. Bibinger
35
2
0
05 Jan 2023
1
