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20202024
most citedFrom Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution

2 citations · 3 across the 5 of their papers we have counts for

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econ.EM2020

Bias optimal vol-of-vol estimation: the role of window overlapping

Giacomo Toscano, Maria Cristina Recchioni

We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realiz…