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PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej .
In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
RePEc:pes:ierequ:v:11:y:2016:i:4:p:819-851.

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  46. Volatility forecasting and microstructure noise. (2011). Ghysels, Eric ; Sinko, Arthur.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:257-271.

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  47. Quasi-maximum likelihood estimation of volatility with high frequency data. (2010). Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:235-250.

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  48. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:10:y:2010:p:5-14.

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  49. Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency. (2010). Kim, Tong S. ; Lee, Jihyun.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2010:i:1:n:3.

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