Ultra high frequency volatility estimation with dependent microstructure noise
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Publication:737274
DOI10.1016/J.JECONOM.2010.03.028zbMATH Open1441.62577OpenAlexW3124218550MaRDI QIDQ737274FDOQ737274
Authors: Yacine Aït-Sahalia, Lan Zhang, Per Aslak Mykland 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w11380.pdf
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (93)
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