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Econometrics Paper
Inference about Realized Volatility using Infill Subsampling Ilze Kalnina and Oliver Linton
September 2007
Paper No' EM/2007/523:
Read Abstract | Full Paper (pdf)

JEL Classification: C12


Tags: realised volatility; semimartingale; subsampling; infill asymptotic scheme

Econometrics Paper
Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error Ilze Kalnina and Oliver Linton
October 2006
Paper No' EM/2006/509:
Read Abstract | Full Paper (pdf)

JEL Classification: C12


Tags: endogenous noise; market microstructure; realised volatility; semimartingale