A state space approach to estimating the integrated variance and microstructure noise component

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Bibliographic Information

Title
"A state space approach to estimating the integrated variance and microstructure noise component"
Statement of Responsibility
Daisuke Nagakura and Toshiaki Watanabe
Publisher
  • Institute for Monetary and Economic Studies, Bank of Japan
Publication Year
  • 2009
Book size
30 cm
Other Title
  • IMES

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Notes

Cover title

Bibliography: p. 26-27

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