Ultra high frequency volatility estimation with dependent microstructure noise
Work
Year: 2010
Type: article
Source: Journal of Econometrics
Institutions Princeton University, University of Chicago, University of Illinois Urbana-Champaign, University of Illinois Chicago
Cites: 51
Cited by: 365
Related to: 10
FWCI: 24.26
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green