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Realized Variance and Market Microstructure Noise

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  • Hansen, Peter R.
  • Lunde, Asger

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  • Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
  • Handle: RePEc:bes:jnlbes:v:24:y:2006:p:127-161
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