tale of two time scales
Subtitle: determining integrated volatility with noisy high-frequency data
By: Lan Zhang, Per A. Mykland, Yacine Ait-Sahalia.
Contributors: Mykland, Per A.; Aït-Sahalia, Yacine.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 10111.; Working paper series (National Bureau of Economic Research) -- working paper no. 10111.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 29
Subjects: Rate of return -- Econometric models
Notes: "November 2003."

Includes bibliographical references.

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