"Frequency Domain Estimation of Integrated Volatility for Itô ..."

Sofia C. Olhede, Adam M. Sykulski, Grigorios A. Pavliotis (2009)

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DOI: 10.1137/090756363

access: closed

type: Journal Article

metadata version: 2021-10-14

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Sofia C. Olhede, Adam M. Sykulski, Grigorios A. Pavliotis:
Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise. Multiscale Model. Simul. 8(2): 393-427 (2009)

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