Reference
Torben G. Andersen, Tim Bollerslev, and Nour Meddahi, “Realized Volatility Forecasting and Market Microstructure Noise”, Journal of Econometrics, vol. 160, n. 1, January 2011, pp. 220–234.
Published in
Journal of Econometrics, vol. 160, n. 1, January 2011, pp. 220–234