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- W2024484812 abstract "Abstract This paper addresses the issue of first-order negative autocorrelation around large changes in high-frequency foreign exchange rate data. This phenomenon is found to exist at smaller time horizons and disappear at larger horizons." @default.
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- W2024484812 date "1997-10-01" @default.
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- W2024484812 title "Negative autocorrelation around large jumps in intra-day foreign exchange data" @default.
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- W2024484812 doi "https://doi.org/10.1016/s0165-1765(97)81906-4" @default.
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