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Identifying jumps in financial time series: a comparative study of jump detection tests
There is consensus in the financial literature that traded asset prices may be subject to rare, but sudden movements, resulting in asset price discontinuities, known as jumps. It is therefore important to not only incorporate jumps into diffusion models but also to disentangle the diffusion componen...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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