Microstructure noise in the continuous case
The pre-averaging approach
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Date
2009-07Type
- Journal Article
Publication status
publishedJournal / series
Stochastic Processes and their ApplicationsVolume
Pages
Publisher
ElsevierSubject
Consistency; Continuity; Discrete observation; Ito process; Leverage effect; Pre-averaging; Quarticity; Realized volatility; Stable convergenceNotes
Received 14 December 2007, Revised 8 August 2008, Accepted 3 November 2008, Available online 24 November 2008.More
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