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The contribution of intraday jumps to forecasting the density of returns

Christophe Chorro (), Florian Ielpo () and Benoît Sévi ()
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Christophe Chorro: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Florian Ielpo: Lombard Odier Asset Management - Lombard Odier Asset Management
Benoît Sévi: LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IUML - FR 3473 Institut universitaire Mer et Littoral - UBS - Université de Bretagne Sud - UM - Le Mans Université - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - UN - Université de Nantes - ECN - École Centrale de Nantes - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Date: 2020-04
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02505861
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Published in Journal of Economic Dynamics and Control, Elsevier, 2020, 113, pp.103853. ⟨10.1016/j.jedc.2020.103853⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-02505861

DOI: 10.1016/j.jedc.2020.103853

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