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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
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Volume, volatility, and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - In: The review of economic studies 85 (2018) 4/305, pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013326614