scholarly journals Estimation for high-frequency data under parametric market microstructure noise

2020 ◽  
Author(s):  
Simon Clinet ◽  
Yoann Potiron
Keyword(s):  
Market Microstructure ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Microstructure Noise ◽  
Market Microstructure Noise

scholarly journals Dependent microstructure noise and integrated volatility estimation from high-frequency data

2020 ◽  
Vol 215 (2) ◽  
pp. 536-558
Author(s):  
Z. Merrick Li ◽  
Roger J.A. Laeven ◽  
Michel H. Vellekoop
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Microstructure Noise ◽  
Volatility Estimation ◽  
Integrated Volatility
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