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Journal Articles Mathematical Finance Year : 2012

Volatility and covariation estimation when microstructure noise and trading times are endogenous

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hal-00661645 , version 1 (20-01-2012)

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  • HAL Id : hal-00661645 , version 1

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M. Rosenbaum, C.Y. Robert. Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 2012, 22 (1), pp.133-164. ⟨hal-00661645⟩
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