A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
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Publication:6574582
DOI10.1002/asmb.2352MaRDI QIDQ6574582
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
high-frequency datamarket microstructure noiseintegrated volatilityprice discretenesscombined filters
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