Mengyu Xu

affiliation not provided to SSRN

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Scholarly Papers (1)

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Testing for Self-exciting Jumps in Bitcoin Returns

Number of pages: 43 Posted: 22 Oct 2020 Last Revised: 07 Sep 2021
Zhongnan University of Economics and Law - School of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
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Abstract:

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Bitcoin; self-excitation; good jumps; bad jumps; high frequency data; FinTech