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The Drift Burst Hypothesis. (2016). Christensen, Kim ; Reno, Roberto ; Oomen, Roel.
In: CREATES Research Papers.
RePEc:aah:create:2016-28.

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  1. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sébastien.
    In: Post-Print.
    RePEc:hal:journl:hal-02909690.

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  2. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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  3. Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:23.

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  4. Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01944449.

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  48. Detecting jumps from Lévy jump diffusion processes. (2010). Hannig, Jan ; Lee, Suzanne S..
    In: Journal of Financial Economics.
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  49. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
    In: Journal of Economic Dynamics and Control.
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  50. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; JunYu, ; Huang, Shirley J..
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