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MR2236450 62P05 (60H10 60H30 62M09)
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine A tale of two time scales: determining integrated volatility with noisy high-frequency data. J. Amer. Statist. Assoc. 100 (2005), no. 472, 1394–1411.
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