Zero-intelligence realized variance estimation
Jim Gatheral and
Roel Oomen ()
Finance and Stochastics, 2010, vol. 14, issue 2, 249-283
Keywords: Limit order book; Market microstructure noise; Micro-price; Realized variance; Sampling schemes; 62E20; 62P20; C10; C80 (search for similar items in EconPapers)
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