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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
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Comment on: price discovery in high resolution
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 19 (2021) 3, pp. 439-451
Persistent link: https://www.econbiz.de/10012654941
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Rejoinder on: price discovery in high resolution
Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 465-471
Persistent link: https://www.econbiz.de/10012654950