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Intraday Volatility Patterns and Their Relation to Jump Arrivals in the High Frequency SPY Data

Intraday Volatility Patterns and Their Relation to Jump Arrivals in the High Frequency SPY Data. Peter Van Tassel 18 April 2007 Final Econ 201FS Presentation Duke University. Outline. Motivation Intuition Preliminary results

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320 flagged jumps - PowerPoint PPT Presentation

Intraday Volatility Patterns and Their Relation to Jump Arrivals in the High Frequency SPY Data