A TALE OF TWO TIME SCALES: DETERMINING INTEGRATED VOLATILITY WITH NOISY HIGH-FREQUENCY DATA
Year of publication: |
2003
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Authors: | Zhang, Lan ; Mykland, Per A. ; Ait-Sahalia, Yacine |
Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2003, 10111
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