Bias-correcting the realized range-based variance in the presence of market microstructure noise
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Publication:964674
DOI10.1007/s00780-009-0089-9zbMath1189.62182OpenAlexW2136796521MaRDI QIDQ964674
Mark Podolskij, Mathias Vetter, Kim Christensen
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0089-9
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)
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Cites Work
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