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]
@article{LiangWZ24,
title = {Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach},
author = {Wanwan Liang and Ben Wu and Bo Zhang},
year = {2024},
month = {February},
doi = {10.1007/s11222-023-10341-0},
url = {https://doi.org/10.1007/s11222-023-10341-0},
researchr = {https://researchr.org/publication/LiangWZ24},
cites = {0},
citedby = {0},
journal = {Statistics and Computing},
volume = {34},
number = {1},
pages = {23},
}