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Efficient Estimation Of Integrated Volatility And Related Processes


  • Renault, Eric
  • Sarisoy, Cisil
  • Werker, Bas J.M.


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  • Renault, Eric & Sarisoy, Cisil & Werker, Bas J.M., 2017. "Efficient Estimation Of Integrated Volatility And Related Processes," Econometric Theory, Cambridge University Press, vol. 33(02), pages 439-478, April.
  • Handle: RePEc:cup:etheor:v:33:y:2017:i:02:p:439-478_00

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    1. repec:eee:econom:v:209:y:2019:i:2:p:289-337 is not listed on IDEAS
    2. 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.
    3. repec:eee:econom:v:200:y:2017:i:1:p:36-47 is not listed on IDEAS
    4. Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479,

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