Modeling microstructure noise with mutually exciting point processes
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Other versions of this item:
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
References listed on IDEAS
- Francis X. Diebold & Georg H. Strasser, 2008.
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- Bandi, Federico M. & Russell, Jeffrey R., 2011. "Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations," Journal of Econometrics, Elsevier, vol. 160(1), pages 145-159, January.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
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