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- W4238070907 abstract "This chapter covers the various problems arising in the estimation of the integrated volatility when the observations are contaminated by a noise. The approach used is quite partial, and fundamentally phenomenological, in contrast with a microeconomical approach. That is, the authors assumed the existence of an underlying (nonobservable) efficient price, and what is called noise below is by definition the difference between the observed price and the efficient price. Henceforth, it certainly does not apply to tick-by-tick data, even if these were regularly spaced in time (which they are not). In the whole chapter, with the exception of one section, the underlying process <italic>X</italic> is one-dimensional." @default.
- W4238070907 created "2022-05-12" @default.
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- W4238070907 date "2014-07-21" @default.
- W4238070907 modified "2023-09-26" @default.
- W4238070907 title "Volatility and Microstructure Noise" @default.
- W4238070907 doi "https://doi.org/10.23943/princeton/9780691161433.003.0007" @default.
- W4238070907 hasPublicationYear "2014" @default.
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