Volatility forecasting and microstructure noise

Journal of Econometrics - Tập 160 - Trang 257-271 - 2011
Eric Ghysels1,2, Arthur Sinko3
1Department of Finance, Kenan-Flagler, School of Business, United States
2Department of Economics, University of North Carolina, Gardner Hall CB 3305, Gardner Hall CB 3305, Chapel Hill, NC 27599-3305, United States
3Economics, School of Social Sciences, Arthur Lewis Building University of Manchester, Manchester M13 9PL, United Kingdom

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