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25-039/III - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes

  • Authors
    Daan Schoemaker, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam
  • Publication date
    June 26, 2025
  • Keywords
    high frequency tick data, polynomial tails, discrete data, Hurwitz zeta function, score-driven dynamics
  • JEL
    C22, C46, C58
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