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Robust estimation of intraweek periodicity in volatility and jump detection

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References

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2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

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301 cited

2010Jumps, cojumps and macro announcements300 cited

2006Financial econometric analysis at ultra-high frequency: Data handling concerns291 cited

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