Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
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Publication:3646972
DOI10.1007/978-3-540-71297-8_25zbMath1179.62149OpenAlexW71960692MaRDI QIDQ3646972
Yacine Aït-Sahalia, Per Aslak Mykland
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_25
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10) Economic time series analysis (91B84) Portfolio theory (91G10)
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