TY  - JOUR
TI  - Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
AU  - Ole E. Barndorff-Nielsen
AU  - Neil Shephard
JO  - Journal of the Royal Statistical Society Series B: Statistical Methodology
PY  - 2002
VL  - 64
IS  - 2
DO  - 10.1111/1467-9868.00336
UR  - https://doi.org/10.1111/1467-9868.00336
ER  -


TY  - JOUR
TI  - A Tale of Two Time Scales
AU  - Lan Zhang
AU  - Per A Mykland
AU  - Yacine Aït-Sahalia
JO  - Journal of the American Statistical Association
PY  - 2005
VL  - 100
IS  - 472
DO  - 10.1198/016214505000000169
UR  - https://doi.org/10.1198/016214505000000169
ER  -


TY  - JOUR
TI  - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
AU  - Ole E. Barndorff-Nielsen
AU  - Peter Reinhard Hansen
AU  - Asger Lunde
AU  - Neil Shephard
JO  - Econometrica
PY  - 2008
VL  - 76
IS  - 6
DO  - 10.3982/ecta6495
UR  - https://doi.org/10.3982/ecta6495
ER  -


TY  - JOUR
TI  - Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
AU  - Robert F. Engle
AU  - Jeffrey R. Russell
JO  - Econometrica
PY  - 1998
VL  - 66
IS  - 5
DO  - 10.2307/2999632
UR  - https://doi.org/10.2307/2999632
ER  -


TY  - JOUR
TI  - High Frequency Identification of Monetary Non-Neutrality: The Information Effect
AU  - Emi Nakamura
AU  - Jón Steinsson
JO  - The Quarterly Journal of Economics
PY  - 2013
VL  - 133
IS  - 3
DO  - 10.1093/qje/qjy004
UR  - https://doi.org/10.1093/qje/qjy004
ER  -


TY  - JOUR
TI  - Realized Variance and Market Microstructure Noise
AU  - Peter Reinhard Hansen
AU  - Asger Lunde
JO  - Journal of Business and Economic Statistics
PY  - 2006
VL  - 24
IS  - 2
DO  - 10.1198/073500106000000071
UR  - https://doi.org/10.1198/073500106000000071
ER  -


TY  - JOUR
TI  - Common factors in prices, order flows, and liquidity
AU  - Joel Hasbrouck
JO  - Journal of Financial Economics
PY  - 2001
VL  - 59
IS  - 3
DO  - 10.1016/s0304-405x(00)00091-x
UR  - https://doi.org/10.1016/s0304-405x(00)00091-x
ER  -