Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Ingmar Nolte, Warwick Business School, Warwick University, United Kingdom
  • Valeri Voev, Denmark
Original languageEnglish
JournalJournal of Business and Economic Statistics
Volume30
Issue1
Pages (from-to)94-108
ISSN0735-0015
DOIs
Publication statusPublished - 2012

    Research areas

  • High frequency data, Subsampling, Realized volatility, Market microstructure

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