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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M., (2013)
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Barunik, Jozef, (2014)
Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise
Park, Sujin, (2012)
Separating microstructure noise from volatility
Bandi, Federico M., (2006)
Using high-frequency data in dynamic portfolio choice
Bandi, Federico M., (2008)