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Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps
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Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps
Author
E. Jondeau
,
M. Rockinger
,
J. Lahaye
Journal
Journal of Banking and Finance
Date
1 Jan. 2016
Category
Academic Publications
Volume
NA
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