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Testing for jumps in a discretely observed process
Yacine Aït-Sahalia
, Jean Jacod
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Article
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peer-review
368
Scopus citations
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Keyphrases
Jump Test
100%
Asset Returns
100%
Law
50%
Test Statistic
50%
Semimartingale
50%
Blumenthal-Getoor Index
50%
Discretely Sampled Process
50%
Finite Activity
50%
Infinite Activity
50%
Sampling Interval
50%
Mathematics
Test Statistic
100%
Infinite Activity
100%
Sampling Interval
100%
Economics, Econometrics and Finance
Capital Market Returns
100%