Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects

Author: Corsi Fulvio   Audrino Francesco  

Publisher: Oxford University Press

ISSN: 1479-8417

Source: Journal of Financial Econometrics, Vol.10, Iss.4, 2012-09, pp. : 591-616

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Abstract