A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

Lan Zhang, Per A. Mykland and Yacine Ait-Sahalia

Journal of the American Statistical Association, 2005, vol. 100, pages 1394-1411

Date: 2005
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Working Paper: A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)
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