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20122026
most citedModeling high-frequency financial data by pure jump processes

59 citations · 124 across the 8 of their papers we have counts for

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math.ST2015★ 52 cited

Testing for pure-jump processes for high-frequency data

Xin-Bing Kong, Zhi Liu, Bing-Yi Jing

Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistic…