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When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
We conduct inference on volatility with noisy high-frequency data. We assume the observed transaction price follows a continuous-time …
with Dacheng Xiu
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Disentangling Autocorrelated Intraday Returns
We propose a semiparametric approach to disentangling the autocovariance of equity returns at high frequency. We assume the observed …
with Dacheng Xiu
PDF Abstract