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Results: 2
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  • Open Access
    Li, Z. M., Laeven, R. J. A., & Vellekoop, M. H. (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data. Journal of Econometrics, 215(2), 536-558. https://doi.org/10.1016/j.jeconom.2019.10.004
  • Open Access
    Li, Z. (2019). Econometric analysis of high-frequency market microstructure. [Thesis, fully internal, Universiteit van Amsterdam].
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