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"Robustness of Fourier estimator of integrated volatility in the presence ..."

M. E. Mancino, Simona Sanfelici (2008)

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DOI: 10.1016/J.CSDA.2007.07.014

access: closed

type: Journal Article

metadata version: 2020-02-18

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M. E. Mancino, Simona Sanfelici:
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. Comput. Stat. Data Anal. 52(6): 2966-2989 (2008)

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