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Statistical properties of microstructure noise
Jacod, Jean, (2017)
Modelling realized variance when returns are serially correlated
Oomen, Roel C. A., (2004)
Autocorrelation and partial price adjustment
Anderson, Robert M., (2013)
Endogenous informed trading in the presence of trading costs : theory and evidence
Cho, Jin-wan, (1999)
Corporate disclosures : strategic donation of information
Shin, Jhinyoung, (1999)
Shin, Jhinyoung, (2010)