Ultra high frequency volatility estimation with dependent microstructure noise
Authors:
- Yacine Aït-SahaliaYAYacine Aït-Sahalia
- Per A. MyklandPMPer A. Mykland
- Lan ZhangLZLan Zhang
- 1 January 2011
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 160 (1) , 160-175
Abstract
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