Microstructure noise in the continuous case: The pre-averaging approach

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

  • Jean Jacod, Université Pierre et Marie Curie, France
  • Yingying Li, The University of Chicago, United States
  • Per A. Mykland, The University of Chicago, United States
  • Mark Podolskij
  • Mathias Vetter, Ruhr-Universität Bochum, Germany
  • School of Economics and Management
  • Centre for Research in Econometric Analysis of Time Series (CREATES)
Original languageEnglish
JournalStochastic Processes and Their Applications
Pages (from-to)2249-2276
Publication statusPublished - 2009

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