Jun He
Post
Research
Note
Data
Bergen
🌞
Yacine Aı̈t-Sahalia
← Papers reviewed on this blog
[2005 RFS]
一秒一笔的数据,为什么只敢拿 5 分钟用一次?
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Jun 2026
[2004 JFE]
明明长得一模一样,为什么高频数据能一眼认出「跳跃」?
Disentangling Diffusion from Jumps
Jun 2026