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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)
Date: 2010
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DOI: 10.1007/s00780-009-0120-1

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