Intraday jumps and US macroeconomic news announcements
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Citations
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Cited by:
- Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
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Keywords
Jumps Realised volatility Bipower variation Macro news announcements;Statistics
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