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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Lehrbuch"
~isPartOf:"NBER Working Paper"
~isPartOf:"OECD Tax Statistics"
~person:"Ait-Sahalia, Yacine"
~subject:"Statistical method"
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Ait-Sahalia, Yacine
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2005
Classical
statistics
suggest that for inference purposes one should always use as much data as is available. We study …
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