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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
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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
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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
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
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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