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Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise
Mancino, M. E., Sanfelici, S.Volume:
9
Langue:
english
Journal:
Journal of Financial Econometrics
DOI:
10.1093/jjfinec/nbq031
Date:
April, 2011
Fichier:
PDF, 429 KB
english, 2011