JOURNAL ARTICLE
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
Rodrigo HizmeriMarwan IzzeldinGiovanni Urga
Year: 2025 Journal: Journal of Empirical Finance Vol: 81 Pages: 101594-101594 Publisher: Elsevier BV
Keywords:
Jump Diffusion Jump diffusion Statistical physics Econometrics Computer science Mathematics Physics Thermodynamics
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Topics
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Advanced Mathematical Modeling in Engineering
Physical Sciences → Computer Science → Computational Theory and Mathematics
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Pure Jump Processes
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