The effect of infrequent trading on detecting price jumps
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Bibliographic InfoArticle provided by Springer in its journal AStA Advances in Statistical Analysis.
Volume (Year): 95 (2011)
Issue (Month): 1 (March)
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Web page: http://www.springerlink.com/link.asp?id=112915
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- Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
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- Amundsen, Eirik S. & Bergman, Lars, 2006. "Why has the Nordic electricity market worked so well?," Utilities Policy, Elsevier, vol. 14(3), pages 148-157, September.
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