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Disentangling diffusion from jumps Author info | Abstract | Publisher info | Download info | Related research | Statistics Ait-Sahalia, Yacine
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Article provided by Elsevier in its journal Journal of Financial Economics .
Volume (Year): 74 (2004)
Issue (Month): 3 (December)
Pages: 487-528
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Handle: RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576
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Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
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Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008.
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Fulvio Corsi & Davide Pirino & Roberto Renò, 2008.
"Volatility forecasting: the jumps do matter ,"
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José Fajardo, 2005.
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"Equivalent Martingale Measures and Lévy Processes ,"
Revista Brasileira de Economia ,
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CREATES Research Papers
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Charles S. Bos, 2008.
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Fulvio Corsi & Davide Pirino & Roberto Reno, 2009.
"Volatility Forecasting: The Jumps Do Matter ,"
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