Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Year of publication: |
2009-04-27
|
---|---|
Authors: | Nolte, Ingmar ; Voev, Valeri |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | High frequency data | Subsampling | Realized volatility | Market microstructure |
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