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A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises

Tang, YF; Zhang, ZY

Zhang, ZY (reprint author), Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China.

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019; 35 (3): 603

Abstract

This paper introduces a solution that combines the Kalman and particle filters to the challenging problem of estimating integrated volatility using hi......

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