Efficient Estimation Of Integrated Volatility And Related Processes
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- repec:eee:econom:v:209:y:2019:i:2:p:289-337 is not listed on IDEAS
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics,
Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- repec:eee:econom:v:200:y:2017:i:1:p:36-47 is not listed on IDEAS
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org.
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