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We develop econometric tools to study integrated volatility with potentially time-dependent microstructure noise in high-frequency data.
Dependent microstructure noise and integrated volatility estimation from high-frequency data
【摘 要】
：
We develop econometric tools to study integrated volatility with potentially time-dependent microstructure noise in high-frequency data.
【机 构】
：
Amsterdam School of Economics,University of Amsterdam and Tinbergen Institute,The Netherlands
【出 处】
：
上海交通大学
【发表日期】
：
2016年4期
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