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The contribution of intraday jumps to forecasting the density of returns

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https://halshs.archives-ouvertes.fr/halshs-02505861
Contributor : Christophe Chorro <>
Submitted on : Wednesday, March 11, 2020 - 6:00:59 PM
Last modification on : Tuesday, March 30, 2021 - 12:26:09 PM

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Christophe Chorro, Florian Ielpo, Benoît Sévi. The contribution of intraday jumps to forecasting the density of returns. Journal of Economic Dynamics and Control, Elsevier, 2020, 113, pp.103853. ⟨10.1016/j.jedc.2020.103853⟩. ⟨halshs-02505861⟩

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