ULTRA HIGH FREQUENCY VOLATILITY ESTIMATION WITH DEPENDENT MICROSTRUCTURE NOISE
| Year of publication: |
2005
|
|---|---|
| Authors: | Ai͏̈t-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan |
| Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2005, 11380
|