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Our data says that the document:

Jialin, Yu ; Yacine, Ait-Sahalia ; Yacine, Ait-Sahalia. (2009) High frequency market microstructure noise estimates and liquidity measures.
In: Papers. RePEc:arx:papers:0906.1444.

Full description at Econpapers

cites:

ZUMBACH, G., C0RSI, F. and TRAPLETTI, A. (2002). Efficient estimation of volatility using high frequency data. Discussion paper, Olsen & Associates. BENDREIM CENTER FOR FINANCE PRINCETON UNIVERSITY 26 PROSPECT AVENUE PRINCETON, NEW JERSEY 08540-5296 USA E-MAIL: yaciriet~princeLon.edu FINANCE AND ECONOMIC DIVISION COLUMBIA UNIVERSITY 421 URIS HALL 3022 BROADWAY NEW YORK, NEW YORK 10027 USA E-MAIL: jy2167~ctcoiurnhia.edu

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