Jacod, Jean, et al. “Microstructure Noise in the Continuous Case: The Pre-Averaging Approach”. Stochastic Processes and Their Applications, vol. 119, no. 7, 2009, pp. 2249-76, https://doi.org/10.1016/j.spa.2008.11.004.
Jacod, J., Li, Y., Mykland, P. A., Podolskij, M., & Vetter, M. (2009). Microstructure noise in the continuous case: The pre-averaging approach. Stochastic Processes and Their Applications, 119(7), 2249-2276. https://doi.org/10.1016/j.spa.2008.11.004
Jacod J, Li Y, Mykland PA, Podolskij M, Vetter M. Microstructure noise in the continuous case: The pre-averaging approach. Stochastic Processes and their Applications. 2009;119(7):2249-76.
The category
Social Sciences: Economic theory. Demography: Economics as a science 12 is the most frequently represented among the references in this article. It primarily includes studies from Econometrica and Bernoulli. The chart below illustrates the number of referenced publications per year.