Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Year of publication: |
2008
|
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Authors: | Kalnina, Ilze ; Linton, Oliver |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 147.2008, 1, p. 47-59
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Subject: | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Martingal | Martingale | Statistischer Fehler | Statistical error |
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