Asymptotics of Realized Volatility with Non-Gaussian ARCH() Microstructure Noise

Author: Taniai Hiroyuki   Usami Takashi   Suto Nobuyuki   Taniguchi Masanobu  

Publisher: Oxford University Press

ISSN: 1479-8417

Source: Journal of Financial Econometrics, Vol.10, Iss.4, 2012-09, pp. : 617-636

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Abstract