Bias-corrected realized variance under dependent microstructure noise (Q543443): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.matcom.2010.04.017
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+W2022467123
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@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
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@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
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+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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