JASA
When Frictions Are Fractional: Rough Noise in High-Frequency Data
Authors
Carsten H. Chong
Thomas Delerue
Guoying Li
Paper Information
-
Journal:
Journal of the American Statistical Association -
Added to Tracker:
Jul 16, 2025
Author Details
Carsten H. Chong
AuthorThomas Delerue
AuthorGuoying Li
AuthorCitation Information
APA Format
Carsten H. Chong
,
Thomas Delerue
&
Guoying Li
.
When Frictions Are Fractional: Rough Noise in High-Frequency Data.
Journal of the American Statistical Association
.
BibTeX Format
@article{paper372,
title = { When Frictions Are Fractional: Rough Noise in High-Frequency Data },
author = {
Carsten H. Chong
and Thomas Delerue
and Guoying Li
},
journal = { Journal of the American Statistical Association },
url = { https://www.tandfonline.com/doi/full/10.1080/01621459.2024.2428466 }
}