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

Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop

Published in Journal of Econometrics, 215(2): 536–558, 2020

Recommended citation: Li, Z. M., Laeven, R. J. A., & Vellekoop, M. H. (2020). "Dependent microstructure noise and integrated volatility estimation from high-frequency data." Journal of Econometrics, 215(2), 536–558.
Download Paper