Estimating the integrated volatility with tick observations

Published 2018 View Full Article

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Title
Estimating the integrated volatility with tick observations
Authors
Keywords
High frequency data, Integrated volatility, Market microstructure noise, Dependent noise, Endogenous time
Journal
JOURNAL OF ECONOMETRICS
Volume 208, Issue 1, Pages 80-100
Publisher
Elsevier BV
Online
2018-10-05
DOI
10.1016/j.jeconom.2018.09.006

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