Extreme Returns without News: A Microstructural Explanation
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References listed on IDEAS
- Mark Carey & Mitch Post & Steven A. Sharpe, 1998.
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More about this item
Keywordskurtosis; exchange rates; order flow; high-frequency; microstructure; jump process; value-atrisk; risk management;
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
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