The double Gaussian approximation for high frequency data
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Cites work
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- Inference for Continuous Semimartingales Observed at High Frequency
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- Partial likelihood
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Cited in
(5)- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- A Gaussian calculus for inference from high frequency data
- The estimation of leverage effect with high-frequency data
- A local Gaussian bootstrap method for realized volatility and realized beta
- Local Parametric Estimation in High Frequency Data
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