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University of Macau
Ito semi-martingale, High-frequency, Jump, Microstructure noise, Realized skewness, Stock return prediction
Itˆo Variance hedging; Co-skewness; Stock return prediction; High frequency data; Market microstructure noise; Pre-averaging
Continuous time factor model, High dimensional Ito process, Driving process
High frequency data; Itô semi-martingale; Jumps; Realized variations; Stable convergence.
jumps, market microstructure noise, spurious detections, threshold pre-averaged bi-power variation, ultra high frequency data
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Local time, Ornstein–Uhlenbeck fractional Brownian motion, Unit root
Integrated volatility; High-frequency data; Multiple records; Range-based estimation
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