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Realized volatility when sampling times are possibly endogenous
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric theory 30 (2014) 3, pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
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In-sample asymptotics and across-sample efficiency gains for high frequency data statistics
Ghysels, Eric; Mykland, Per A.; Renault, Eric - In: Econometric theory 39 (2023) 1, pp. 70-106
Persistent link: https://www.econbiz.de/10014247294