A combined filtering approach to high-frequency volatility...

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A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises

Tang, Yinfen, Zhang, Zhiyuan
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Language:
english
Journal:
Applied Stochastic Models in Business and Industry
DOI:
10.1002/asmb.2352
Date:
July, 2018
File:
PDF, 731 KB
english, 2018
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