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Volatility and covariation estimation when microstructure noise and trading times are endogenous

By M. Rosenbaum and C.Y. Robert

Abstract

International audienc

Topics: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]
Publisher: Wiley
Year: 2012
OAI identifier: oai:HAL:hal-00661645v1
Provided by: Hal-Diderot
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