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Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A.
In: Journal of Econometrics.
RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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  1. Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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  2. ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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  3. Testing for Endogeneity of Irregular Sampling Schemes. (2022). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:547.

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  4. Estimation for high-frequency data under parametric market microstructure noise. (2021). Potiron, Yoann ; Clinet, Simon.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:73:y:2021:i:4:d:10.1007_s10463-020-00762-3.

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  5. Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market. (2021). Hall, George ; Rust, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:219-243.

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  6. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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  7. Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon.
    In: Papers.
    RePEc:arx:papers:1712.01479.

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