Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach

Wanwan Liang, Ben Wu, Bo Zhang. Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach. Statistics and Computing, 34(1):23, February 2024. [doi]

Authors

Wanwan Liang

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Ben Wu

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Bo Zhang

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