Hansen, Peter Reinhard; Horel, Guillaume - School of Economics and Management, University of Aarhus - 2009
about the noise. For the practical implementation, we adopt the discrete Markov chain model that is well suited for the … analysis of financial high-frequency prices. The Markov chain framework facilitates simple expressions and elegant analytical … framework where
little is assumed about the noise. For the practical implementation, we adopt the dis-
crete Markov chain model …