Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
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References listed on IDEAS
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009.
"Microstructure noise in the continuous case: The pre-averaging approach,"
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- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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"Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps,"
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- Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, Department of Economics and Business Economics, Aarhus University.
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- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-ECM-2010-02-05 (Econometrics)
- NEP-ETS-2010-02-05 (Econometric Time Series)
- NEP-MST-2010-02-05 (Market Microstructure)
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