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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Ilze Kalnina * Oliver Linton
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Ilze Kalnina, Oliver Linton. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error. Econometrics, MDPI, 2008, 147 (1), pp.47. ⟨10.1016/j.jeconom.2008.09.016⟩. ⟨hal-00533604⟩

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