APA   Click to copy
Fleming, J., & Paye, B. S. (2011). High-frequency returns, jumps and the mixture of normals hypothesis. Journal of Econometrics, 160, 119–128.

Chicago/Turabian   Click to copy
Fleming, Jeff, and Bradley S Paye. “High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis.” Journal of Econometrics 160 (2011): 119–128.

MLA   Click to copy
Fleming, Jeff, and Bradley S. Paye. “High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis.” Journal of Econometrics, vol. 160, Elsevier, 2011, pp. 119–28.

@article{fleming2011a,
  title = {High-frequency returns, jumps and the mixture of normals hypothesis},
  year = {2011},
  journal = {Journal of Econometrics},
  pages = {119--128},
  publisher = {Elsevier},
  volume = {160},
  author = {Fleming, Jeff and Paye, Bradley S}
}