Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
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We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for
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美国国家经济研究局创建时间：
2005-05-01
