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Factor models, systematic risk, common jumps, high-frequency data, realized variation
Levy process, simulation, stochastic volatility, diffusions, realized variance, quadratic variation
Extreme events, jumps, high-frequency data, jump tails, non-parametric estimation, stochastic volatility
Options Data, High Frequency Data, Market Microstructure
investment horizons, portfolio choice, static investment strategy, estimation risk, Bayesian analysis, multivariate t distribution
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