We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are deter
This data is 1 month of Level-I quotes for BAC and CVX for the dates 20110301-20110331. The data used in this paper are extracted from the Thomson-Reuters TRTH database. They were provided to me by th
JSE Top 40 5 minute time bars containing OHLCV data for the 6 month period 02-01-2018 to 29-06 -2018. All processing from raw tick data done in MATLAB.
As the data is widely used in econometric modelling of high-frequency data, we have used the same 3534 observations which were used by Tsay (2005, 2010).
