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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence

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  • Nikolaus Hautsch, Humboldt-Universität zu Berlin, Denmark
  • Mark Podolskij
Original languageEnglish
JournalJournal of Business and Economic Statistics
Volume31
Issue2
Pages (from-to)165-183
Number of pages18
ISSN0735-0015
Publication statusPublished - 2013

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