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Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps

Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps

AuthorE. Jondeau, M. Rockinger, J. Lahaye
JournalJournal of Banking and Finance
Date1 jan. 2016
CatégorieAcademic Publications
VolumeNA

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