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Wang, Yazhen; Zou, Jian

Volatility analysis in high-frequency financial data. (English) Zbl 07912743

Wiley Interdiscip. Rev., WIREs Comput. Stat. 6, No. 6, 393-404 (2014).

Cited in 2 Documents

MSC:

62-08 Computational methods for problems pertaining to statistics

Keywords:

high-frequency finance; microstructure noise; data synchronization; volatility estimation; large volatility matrix
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Full Text: DOI

References:

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