How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/18/2/351/5383391/hhi016.pdf
Reference43 articles.
1. Abramowitz, M., and I. A. Stegun, 1972, Handbook of Mathematical Functions, Dover, New York.
2. Nonparametric Pricing of Interest Rate Derivative Securities
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4. The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
5. The Distribution of Realized Exchange Rate Volatility
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