M. E. Mancino, Simona Sanfelici. Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. Computational Statistics & Data Analysis, 52(6):2966-2989, 2008. [doi]
@article{MancinoS08,
title = {Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise},
author = {M. E. Mancino and Simona Sanfelici},
year = {2008},
doi = {10.1016/j.csda.2007.07.014},
url = {https://doi.org/10.1016/j.csda.2007.07.014},
researchr = {https://researchr.org/publication/MancinoS08},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {52},
number = {6},
pages = {2966-2989},
}