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most citedPlant Performance in Precision Horticulture: Optimal climate control under stochastic uncertainty

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math.ST2017

Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data

Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop

In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data un…