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Frequency Domain Estimation of Integrated Volatility for Ito Processes in the Presence of Market-Microstructure Noise

Olhede, SC; Sykulski, A; Pavliotis, G; (2009) Frequency Domain Estimation of Integrated Volatility for Ito Processes in the Presence of Market-Microstructure Noise. SIAM Modeling and Simulation , 8 pp. 393-427.

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Type: Article
Title: Frequency Domain Estimation of Integrated Volatility for Ito Processes in the Presence of Market-Microstructure Noise
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/1331918
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