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Comment on "Realized Variance and Market Microstructure Noise", Journal of Business & Economic Statistics
Torben Andersen, Tim Bollerslev, Per H. Frederiksen, Morten O. Nielsen
Andersen, Torben, Tim Bollerslev, Per H. Frederiksen, and Morten O. Nielsen. 2006. Comment on "Realized Variance and Market Microstructure Noise". Journal of Business & Economic Statistics. 24(2): 173-179.LINK
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