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From tick data to semimartingales
Yacine Aït-Sahalia
, Jean Jacod
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Contribution to journal
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Article
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peer-review
3
Scopus citations
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Keyphrases
Asset Prices
100%
Semimartingale
100%
Tick-by-tick Data
100%
Stochastic Volatility
50%
Price Data
50%
Continuous-time Model
50%
Microscopic Features
50%
Stochastic Jump
50%
Empirical Regularity
50%
Semimartingale Models
50%
Mathematics
Asset Price
100%
Stochastic Volatility
50%
Continuous Time Model
50%
Social Sciences
Stochastics
100%
Volatility
100%
Economics, Econometrics and Finance
Volatility
100%
Continuous Time
100%