Browsing by Author "Law, Tzuo Hann"

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  • Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George (Elsevier, 2008)
    We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the ...