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A ReMeDI for Microstructure Noise

Citations

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Cited by:

  1. Oh, Minseog & Kim, Donggyu & Wang, Yazhen, 2026. "Robust realized integrated beta estimator with application to dynamic analysis of integrated beta," Journal of Econometrics, Elsevier, vol. 254(PA).
  2. Aleksey Kolokolov & Giulia Livieri & Davide Pirino, 2022. "Testing for Endogeneity of Irregular Sampling Schemes," CEIS Research Paper 547, Tor Vergata University, CEIS, revised 19 Dec 2022.
  3. Iordanis Angelos Kalaitzoglou, 2025. "Cleaning the carbon market! Market transparency and market efficiency in the EU ETS," Annals of Operations Research, Springer, vol. 347(1), pages 501-533, April.
  4. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
  5. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
  6. Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
  7. Kim, Donggyu & Song, Xinyu & Wang, Yazhen, 2022. "Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  8. Torben G. Andersen & Yingwen Tan & Viktor Todorov & Zhiyuan Zhang, 2025. "Testing mean stationarity of intraday volatility curves," Quantitative Economics, Econometric Society, vol. 16(3), pages 1059-1091, July.
  9. Dimitriadis, Timo & Halbleib, Roxana & Polivka, Jeannine & Rennspies, Jasper & Streicher, Sina & Wolter, Axel Friedrich, 2026. "Efficient sampling for realized variance estimation in time-changed diffusion models," Journal of Econometrics, Elsevier, vol. 254(PA).
  10. Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
  11. Xiao, Xijuan & Yamamoto, Ryuichi, 2024. "Realized volatility, price informativeness, and tick size: A market microstructure approach," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 410-426.
  12. Li, Z. Merrick & Linton, Oliver, 2026. "Robust estimation of integrated and spot volatility," Journal of Econometrics, Elsevier, vol. 254(PA).
  13. Chen, Dachuan & Lu, Wenqi & Xie, Siyu, 2025. "High frequency factor analysis with partially observable factors," Journal of Econometrics, Elsevier, vol. 251(C).
  14. Li, Z. Merrick & Yang, Xiye, 2026. "Multi-horizon test for market frictions," Journal of Econometrics, Elsevier, vol. 253(C).
  15. Shi, Shuping & Phillips, Peter C.B., 2026. "Uncovering mild drift in asset prices with intraday high-frequency data," Journal of Econometrics, Elsevier, vol. 253(C).
  16. Shin, Minseok & Kim, Donggyu & Wang, Yazhen & Fan, Jianqing, 2025. "Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations," Journal of Econometrics, Elsevier, vol. 252(PA).
  17. Ge, Shuyi & Li, Shaoran & Linton, Oliver & Liu, Weiguang & Su, Wen, 2026. "Should we augment large covariance matrix estimation with auxiliary network information?," Journal of Econometrics, Elsevier, vol. 255(C).
  18. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
  19. repec:cam:camjip:2416 is not listed on IDEAS
  20. Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
  21. Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Cambridge Working Papers in Economics 2427, Faculty of Economics, University of Cambridge.
  22. Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
  23. repec:hal:journl:hal-04218488 is not listed on IDEAS
  24. Li, Qiyuan & Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2026. "Testing for jumps in a discretely observed price process with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 254(PA).
  25. Bibinger, Markus & Hautsch, Nikolaus & Ristig, Alexander, 2026. "Jump detection in high-frequency order prices," Journal of Econometrics, Elsevier, vol. 253(C).
  26. Chang, Jinyuan & Hu, Qiao & Liu, Cheng & Tang, Cheng Yong, 2024. "Optimal covariance matrix estimation for high-dimensional noise in high-frequency data," Journal of Econometrics, Elsevier, vol. 239(2).
  27. Dias, Gustavo Fruet & Schweikert, Karsten, 2026. "Integrated variance estimation for assets traded in multiple venues," Journal of Econometrics, Elsevier, vol. 255(C).
  28. Andersen, Torben G. & Li, Yingying & Todorov, Viktor & Zhou, Bo, 2023. "Volatility measurement with pockets of extreme return persistence," Journal of Econometrics, Elsevier, vol. 237(2).
  29. Iordanis Angelos Kalaitzoglou, 2025. "Cleaning the carbon market! Market transparency and market efficiency in the EU ETS," Post-Print hal-05133749, HAL.
  30. Laurent, Sébastien & Renò, Roberto & Shi, Shuping, 2026. "Realized drift," Journal of Econometrics, Elsevier, vol. 254(PA).
  31. Andersen, Torben G. & Bondarenko, Oleg & Gousgounis, Eleni & Onur, Esen, 2026. "FX futures invariance," Journal of Econometrics, Elsevier, vol. 254(PA).
  32. Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2026. "Reprint of: Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 254(PA).
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