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Unit root test with high-frequency data
Sébastien Laurent,
Shuping Shi
Department of Economics
Research output
:
Contribution to journal
›
Article
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peer-review
1
Citation (Scopus)
34
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Dive into the research topics of 'Unit root test with high-frequency data'. Together they form a unique fingerprint.
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Business & Economics
High-frequency Data
100%
Jump
99%
Unit Root Tests
88%
Mean Reversion
48%
Random Walk
30%
Asset Prices
27%
Deviation
24%
Random Walk Hypothesis
20%
Stock Market
19%
Size Distortion
19%
Portfolio Construction
19%
Nasdaq
18%
Intraday Data
18%
Limiting Distribution
18%
Predictability
17%
Construction Management
17%
Bubble
17%
Portfolio Risk
16%
Composite Index
16%
Asset Returns
14%
Financial Data
14%
Testing
12%
Risk Management
10%
Monitoring
10%
Simulation
9%
Alternatives
6%
Performance
5%
Social Sciences
assets
55%
stock market
30%
risk management
22%
simulation
17%
monitoring
15%
time
15%
performance
9%
evidence
9%