Mykland, Mark Podolskij, and Mathias Vetter. 2009. “Microstructure Noise in the Continuous Case: The Pre-Averaging Approach.” Stochastic Processes and Their Applications 119 (7): 2249–76. https://doi.org/10.1016/j.spa.2008.11.004. Jacod, Jean, Mark Podolskij, and Mathias Vetter. 2010....
Mykland, stochastic processes, cryptocurrencies, cryptocurrency, crypto, spectrogram, microstructure, market microstructure noise, contagion, shocksSee also:'Lee, S.S. and Mykland, P.A. (2012) Jumps in Equilibrium Prices and Market Microstructure Noise; Ait-Sahalia, Y. and Jacod, J., Jia Li (...
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