Estimating the integrated volatility with tick observations
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Cites work
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- Efficient estimation of integrated volatility incorporating trading information
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- Microstructure noise in the continuous case: the pre-averaging approach
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Cited in
(35)- Editorial for the special issue on financial engineering and risk management for JoE
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- Inference for time-varying lead-lag relationships from ultra-high-frequency data
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