References

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• 2005A Tale of Two Time Scales1,312 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
• 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
• 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
• 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
• 2010Quasi-maximum likelihood estimation of volatility with high frequency data280 cited
• n.d.Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise184 cited
• 2004Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach146 cited
• 2001Diffusions with measurement errors. I. Local Asymptotic Normality137 cited
• 2009Bipower-type estimation in a noisy diffusion setting109 cited
• 2014Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency100 cited
• 2010