Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
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Publication:6617600
DOI10.1017/JPR.2023.96MaRDI QIDQ6617600
Publication date: 11 October 2024
Published in: Journal of Applied Probability (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Brownian motion (60J65)
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