Estimating the integrated volatility with tick observations
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Publication:1739633
DOI10.1016/j.jeconom.2018.09.006zbMath1452.62771OpenAlexW3122291666WikidataQ129131177 ScholiaQ129131177MaRDI QIDQ1739633
Ying-Ying Li, Jean Jacod, Xinghua Zheng
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.006
Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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