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Cited article:
Arnaud Gloter , Jean Jacod
ESAIM: PS, 5 (2001) 225-242
Published online: 2002-08-15
This article has been cited by the following article(s):
115 articles | Pages:
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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Ilze Kalnina and Oliver Linton Journal of Econometrics 147 (1) 47 (2008) https://doi.org/10.1016/j.jeconom.2008.09.016
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Arnaud Gloter and Marc Hoffmann The Annals of Statistics 35 (5) (2007) https://doi.org/10.1214/009053607000000316
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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Stochastic Finance
Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang Stochastic Finance 3 (2006) https://doi.org/10.1007/0-387-28359-5_1
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Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics
Ole E. Barndorff-Nielsen and Neil Shephard SSRN Electronic Journal (2005) https://doi.org/10.2139/ssrn.751984
Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
Per A. Mykland and Lan Zhang Statistical Science 20 (4) (2005) https://doi.org/10.1214/088342305000000458
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang Review of Financial Studies 18 (2) 351 (2005) https://doi.org/10.1093/rfs/hhi016
Diffusions with measurement errors. II. Optimal estimators
Arnaud Gloter and Jean Jacod ESAIM: Probability and Statistics 5 243 (2001) https://doi.org/10.1051/ps:2001111
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