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Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
In: Econometric Society 2004 North American Winter Meetings.
RePEc:ecm:nawm04:77.

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  1. Macroeconomic news, announcements, and stock market jump intensity dynamics. (2011). Rangel, Jose.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1263-1276.

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  2. Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics. (2009). Rangel, Jose.
    In: Working Papers.
    RePEc:bdm:wpaper:2009-15.

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  3. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

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  4. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

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  5. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

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