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Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity

Bibliographic Information

Title
Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity
Author
M.Ubukata, K.Oya

Journal

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Details

  • CRID
    1010000782441803538
  • Article Type
    journal article
  • Data Source
    • KAKEN

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