Intraday volatility estimation using High-Frequency Financial Data
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Updated
Apr 1, 2023 - Jupyter Notebook
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microstructure-noise
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Compute the testing statistics proposed by Li and Yang (2026)
autocorrelation market-efficiency high-frequency-data microstructure-noise return-reversal semimartingale drift-burst
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Updated
Jan 22, 2026 - Python
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