Bias-correcting the realized range-based variance in the presence of market microstructure noise
| Year of publication: |
2009
|
|---|---|
| Authors: | Christensen, Kim ; Podolskij, Mark ; Vetter, Mathias |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 13563397. - Vol. 13.2009, 2, p. 239-268
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