Efficient estimation of integrated volatility incorporating trading information
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Publication:311638
DOI10.1016/j.jeconom.2016.05.017zbMath1443.62363OpenAlexW3123933532MaRDI QIDQ311638
Shangyu Xie, Xinghua Zheng, Ying-Ying Li
Publication date: 13 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.017
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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