Comment on: Price Discovery in High Resolution
Author:
Affiliation:
1. Scuola Normale Superiore
2. University of Bologna
3. University of Pisa
4. City University of London
5. Center for Analysis Decision and Society—Human Technopole
Abstract
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/19/3/439/40507826/nbz008.pdf
Reference17 articles.
1. EXcess Idle Time;Bandi;Econometrica,2017
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3. A Simple Approximate Long-Memory Model of Realized Volatility;Corsi;Journal of Financial Econometrics,2009
4. Missing in Asynchronicity: A Kalman–EM Approach for Multivariate Realized Covariance Estimation;Corsi;Journal of Applied Econometrics,2015
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