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Realized Illiquidity
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Pricing of electricity swaps with geometric averaging
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News as sources of jumps in stock returns
evidence from 21 million news articles for 9000 companies -
Pricing American options with jumps in asset and volatility
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Jump contagion among stock market indices
evidence from option markets -
Exchange rate jumps and geopolitical risks
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models