Appendix to Fact or Friction: Jumps at Ultra High Frequency

38 Pages Posted: 20 Nov 2012 Last revised: 29 Jan 2013

See all articles by Kim Christensen

Kim Christensen

Aarhus University - CREATES

Roel C. A. Oomen

Deutsche Bank AG (London); London School of Economics & Political Science (LSE) - Department of Statistics

Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics

Date Written: November 1, 2012

Abstract

This web-appendix provides further results and illustrations as referred to in the main paper.

The paper "Fact or Friction: Jumps at Ultra High Frequency" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1848774

JEL Classification: C10, C80

Suggested Citation

Christensen, Kim and Oomen, Roel C.A. and Podolskij, Mark, Appendix to Fact or Friction: Jumps at Ultra High Frequency (November 1, 2012). Available at SSRN: https://ssrn.com/abstract=2177370 or http://dx.doi.org/10.2139/ssrn.2177370

Kim Christensen

Aarhus University - CREATES ( email )

Department of Economics and Business Economics
Fuglesangs Allé 4
Aarhus V, 8210
Denmark

Roel C.A. Oomen (Contact Author)

Deutsche Bank AG (London) ( email )

Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics ( email )

Grabengasse 1
Heidelberg, 69117
Germany
00496221546276 (Phone)

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