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• W3124218550 abstract "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 that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach is based on multiple time scales, and compare empirically our different estimators to the standard realized volatility." @default.
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• W3124218550 date "2011-01-01" @default.
• W3124218550 modified "2023-10-17" @default.
• W3124218550 title "Ultra high frequency volatility estimation with dependent microstructure noise" @default.
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• W3124218550 doi "https://doi.org/10.1016/j.jeconom.2010.03.028" @default.
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