A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Year of publication: |
2011-08
|
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Authors: | Nagakura, Daisuke ; Watanabe, Toshiaki |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | Realized Variance | Integrated Variance | Microstructure Noise | State Space | Identification | Exchange Rate |
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