Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Yacine Ait Sahalia (Princeton University)
- TI Finance Research Seminars
Yacine Ait Sahalia (Princeton University)
Esteban Rossi-Hansberg (Princeton University)
Georgios Effraimidis (VU University Amsterdam)
Larry Christiano (Northwestern University)
Willemien Kets (Santa Fe Institute)
Graham Loomes (University of East Anglia)
Xiaolong Liu (University of Amsterdam)
Carlos Carrillo-Tudela (University of Leicester)
Henrik Cronqvist (Ohio State University)
Pieter Gautier (TI, VU University Amsterdam)
Andrey Lizyayev (Erasmus University Rotterdam)
Hendrik Juerges (University of Mannheim)
Klaus Thustrup Kreiner (Copenhagen University)
Michael Koetter (University of Groningen)
Ilan Cooper (Norwegian School of Management)
Manju Puri (Duke University)
Dino Gerardi (Yale University)
Manju Puri (Duke University)
Marius Ochea (University of Amsterdam)
Eric French (Federal Reserve Bank of Chicago)