Author:
Clinet Simon,Potiron Yoann
Funder
Japanese Society for the Promotion of Science
Keio University, Japan
CREST Japan Science and Technology Agency
Subject
Applied Mathematics,Economics and Econometrics
Reference64 articles.
1. Sobolev Spaces, vol. 140;Adams,2003
2. How often to sample a continuous-time process in the presence of market microstructure noise;Aït-Sahalia;Rev. Financ. Stud.,2005
3. Ultra high frequency volatility estimation with dependent microstructure noise;Aït-Sahalia;J. Econometrics,2011
4. A Hausman test for the presence of market microstructure noise in high frequency data;Aït-Sahalia;J. Econometrics,2016
5. Optimal execution of portfolio transactions;Almgren;J. Risk,2001
Cited by
15 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献