The Observed Asymptotic Variance: Hard edges, and a regression approach
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DOI: 10.1016/j.jeconom.2020.07.008
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More about this item
Keywords
Asynchronous times; Consistency; Discrete observation; Edge effect; Irregular times; Leverage effect; Microstructure; Observed information; Realized volatility; Robust estimation; Semimartingale; Standard error; Two scales estimation; Volatility of volatility;All these keywords.
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