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IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
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- Journal:
- Econometric Theory / Volume 39 / Issue 1 / February 2023
- Published online by Cambridge University Press:
- 23 July 2021, pp. 70-106
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REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
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- Journal:
- Econometric Theory / Volume 30 / Issue 3 / June 2014
- Published online by Cambridge University Press:
- 27 November 2013, pp. 580-605
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