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20122026
most citedQuasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations

13 citations · 27 across the 9 of their papers we have counts for

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math.ST2014

Parametric Inference for Nonsynchronously Observed Diffusion Processes in the Presence of Market Microstructure Noise

Teppei Ogihara

We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood…