Journal of Applied Econometrics Data Archive

Worapree Maneesoonthorn, Catherine S. Forbes, and Gael M. Martin, "Inference on Self-Exciting Jumps in Prices and Volatility using High-Frequency Measures", Journal of Applied Econometrics, Vol. 32, No. 3, 2017, pp. 504-532.

• Readme file
• mfm-data.zip

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