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

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

Daisuke Nagakura and Toshiaki Watanabe

(IMES discussion paper series, no. 2009-E-11)

Institute for Monetary and Economic Studies, Bank of Japan, 2009

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IMES

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Bibliography: p. 26-27

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