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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