Articles citing this article

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Cited article:

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Kim Christensen, Mark Podolskij and Mathias Vetter
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LAMN property for hidden processes: The case of integrated diffusions

Arnaud Gloter and Emmanuel Gobet
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 44 (1) (2008)
https://doi.org/10.1214/07-AIHP111

Parametric inference for mixed models defined by stochastic differential equations

Sophie Donnet and Adeline Samson
ESAIM: Probability and Statistics 12 196 (2008)
https://doi.org/10.1051/ps:2007045

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Mark Podolskij, Mathias Vetter and Margit Sommer
SSRN Electronic Journal (2007)
https://doi.org/10.2139/ssrn.950344

LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod and Neil Shephard
Econometric Theory 22 (04) (2006)
https://doi.org/10.1017/S0266466606060324

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

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