Published in Journal of Econometrics, 215(2): 536–558, 2023
Recommended citation: Li, Z. M., & Linton, O. (2023). "Robust estimation of integrated and spot volatility." Journal of Econometrics, 105614.
Download Paper
Published in Econometrica, 90(1): 367–389, 2022
Recommended citation: Li, Z. M., & Linton, O. (2022). "A ReMeDI for Microstructure Noise." Econometrica, 90(1), 367–389.
Download Paper
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