Ultra high frequency volatility estimation with dependent microstructure noise
By: Yacine Aït-Sahalia, Per A. Mykland, Lan Zhang.
Contributors: Mykland, Per A.; Zhang, Lan.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 11380.; Working paper series (National Bureau of Economic Research) -- working paper no. 11380.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 41
Subjects: Assets (Accounting) -- Prices -- Econometric models
Notes: "May 2005."

Includes bibliographical references (p. 22-23).

Also available in PDF from the NBER world wide web site (www.nber.org).